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- W4360615883 abstract "In classification, feature selection engineering helps in choosing the most relevant data attributes to learn from. It determines the set of features to be rejected, supposing their low contribution in discriminating the labels. The effectiveness of a classifier passes mainly through the set of selected features. In this paper, we identify the best features to learn from in the context of credit risk assessment in the financial industry. Financial institutions concur with the risk of approving the loan request of a customer who may default later, or rejecting the request of a customer who can abide by their debt without default. We propose a feature selection engineering approach to identify the main features to refer to in assessing the risk of a loan request. We use different feature selection methods including univariate feature selection (UFS), recursive feature elimination (RFE), feature importance using decision trees (FIDT), and the information value (IV). We implement two variants of the XGBoost classifier on the open data set provided by the Lending Club platform to evaluate and compare the performance of different feature selection methods. The research shows that the most relevant features are found by the four feature selection techniques." @default.
- W4360615883 created "2023-03-24" @default.
- W4360615883 creator A5003172408 @default.
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- W4360615883 date "2023-03-22" @default.
- W4360615883 modified "2023-09-30" @default.
- W4360615883 title "Feature Selection Engineering for Credit Risk Assessment in Retail Banking" @default.
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- W4360615883 doi "https://doi.org/10.3390/info14030200" @default.
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