Individual Credit Risk Prediction Method:Application of a Lasso-logistic ModelChinese Full Text
方匡南章贵军张惠颖
厦门大学经济学院统计系
Abstract: This article applies Lasso-logistic model to the individual credit risk prediction,the simulation suggests that stepwise method is apt to keep nonzero variable and the probability to select correct model is low,while Lasso has the advantages over other methods in computation,variable selection,parameter estimation simultaneously and grasping key factors.In additional,this article gives an empirical analysis of individual credit evaluation using credit cards data from a famous bank in China,finding that Lasso-logistic model relative to full logistic model and stepwise logistic model can select key factors and the predict accuracy is much higher.
- DOI：
10.13653/j.cnki.jqte.2014.02.009
- Series：
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- Classification Code：
F224;F832
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