Prediction of credit risk with an ensemble model: a correlation-based classifier selection approach

Ensemble models that combine multiple base classifiers have been widely used to improve prediction performance in credit risk evaluation. However, an arbitrary selection of base classifiers is problematic. The purpose of this paper is to develop a framework for selecting base classifiers to improve the overall classification performance of an ensemble model.

In this study, selecting base classifiers is treated as a feature selection problem, where the output from a base classifier can be considered a feature. The proposed correlation-based classifier selection using the maximum information coefficient (MIC-CCS), a correlation-based classifier selection under the maximum information coefficient method, selects the features (classifiers) using nonlinear optimization programming, which seeks to optimize the relationship between the accuracy and diversity of base classifiers, based on MIC.

The empirical results show that ensemble models perform better than stand-alone ones, whereas the ensemble model based on MIC-CCS outperforms the ensemble models with unselected base classifiers and other ensemble models based on traditional forward and backward selection methods. Additionally, the classification performance of the ensemble model in which correlation is measured with MIC is better than that measured with the Pearson correlation coefficient.

The study provides an alternate solution to effectively select base classifiers that are significantly different, so that they can provide complementary information and, as these selected classifiers have good predictive capabilities, the classification performance of the ensemble model is improved.

This paper introduces MIC to the correlation-based selection process to better capture nonlinear and nonfunctional relationships in a complex credit data structure and construct a novel nonlinear programming model for base classifiers selection that has not been used in other studies.