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Credit scoring using machine learning : an application of deep learning
Dissertation (MSc (Financial Engineering))--University of Pretoria, 2021.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2021
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| _version_ | 1867613524168015872 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2019 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc (Financial Engineering))--University of Pretoria, 2021. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/80736 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:37:30.755Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/80736 Credit scoring using machine learning : an application of deep learning Mare, Eben alanwrigglesworth5@gmail.com Wrigglesworth, Alan Financial Engineering Credit scoring Machine learning Deep learning Credit risk UCTD Dissertation (MSc (Financial Engineering))--University of Pretoria, 2021. Over the last couple of years, we have seen much advancement in mathematical analysis and computational capabilities. This advancement, coupled with the increased availability of big data, has made it possible to commoditise machines and enable them to act as risk managers and financial analysts. In this dissertation, we will briefly review machine learning and consumer credit risk/scoring. We look at different methods and models proposed in the literature and thoroughly explore the mathematical theory behind deep learning. We then apply this knowledge and other recent advancements in the field to build a fully connected feed-forward deep neural network using open source credit card default data from a large Taiwanese retail bank. Our deep neural network aims to improve upon other models proposed in the literature regarding accuracy and other metrics such as ROC-AUC, Cohen's Kappa, precision, recall and F1-score. We then conclude that deep neural networks are competitive in terms of performance compared to other machine learning models and outperform traditional models. We highlight the potential that deep learning has yet to achieve in finance and pay close attention to the hurdles faced in complexity, development costs and regulatory roadblocks. Mathematics and Applied Mathematics MSc (Financial Engineering) Unrestricted 2021-07-06T09:21:27Z 2021-07-06T09:21:27Z 2021-09 2021 Dissertation Wrigglesworth, A 2021, Credit scoring using machine learning: an application of deep learning, Masters Dissertation, University of Pretoria, Pretoria, viewed yymmdd http://hdl.handle.net/2263/80736 S2021 http://hdl.handle.net/2263/80736 en © 2019 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | Financial Engineering Credit scoring Machine learning Deep learning Credit risk UCTD Credit scoring using machine learning : an application of deep learning |
| title | Credit scoring using machine learning : an application of deep learning |
| title_full | Credit scoring using machine learning : an application of deep learning |
| title_fullStr | Credit scoring using machine learning : an application of deep learning |
| title_full_unstemmed | Credit scoring using machine learning : an application of deep learning |
| title_short | Credit scoring using machine learning : an application of deep learning |
| title_sort | credit scoring using machine learning an application of deep learning |
| topic | Financial Engineering Credit scoring Machine learning Deep learning Credit risk UCTD |
| url | http://hdl.handle.net/2263/80736 |