基于堆栈降噪自编码网络的个人信用风险评估方法

doi:10.11896/jsjkx.181102216

计算机科学 ›› 2019, Vol. 46 ›› Issue (10): 7-13.doi: 10.11896/jsjkx.181102216

基于堆栈降噪自编码网络的个人信用风险评估方法

杨德杰¹, 章宁¹, 袁戟², 白璐¹

(中央财经大学信息学院北京100081)¹
(德国慕尼黑工业大学土木-地质-环境学院慕尼黑80333)²

收稿日期:2018-11-29 修回日期:2019-04-15 出版日期:2019-10-15 发布日期:2019-10-21
通讯作者: 章宁(1975-),女,博士,教授,主要研究方向为金融科技、个人信息保护,E-mail:[email protected]。
作者简介:杨德杰(1987-),男,博士生,高级工程师,主要研究方向为机器学习、金融风控,E-mail:[email protected];袁戟(1985-),男,博士,助教,高级工程师,主要研究方向为贝叶斯反演分析、随机有限元方法等;白璐(1987-),男,博士,副教授,CCF会员,主要研究方向为机器学习、特征选择等。
基金资助:
本文受国家重点研发计划(2017YFB1400701),国家社会科学基金重点项目资助(13AXW010)资助。

Individual Credit Risk Assessment Based on Stacked Denoising Autoencoder Networks

YANG De-jie¹, ZHANG Ning¹, YUAN Ji², BAI Lu¹

(School of Information,Central University of Finance and Economics,Beijing 100081,China)¹
(College of Civil,Geo and Environmental Engineering,Technical University of Munich,Munich 80333,Germany)²

Received:2018-11-29 Revised:2019-04-15 Online:2019-10-15 Published:2019-10-21

摘要/Abstract

摘要： 个人信用历来是银行衡量个人履约风险最重要的因素。近年来,随着我国借贷需求与日俱增,仅依据信用卡信息的传统个人信用评估方式,已不能完全满足银行业的发展需求。因此,为了构建更加丰富的用户信用画像,文中基于银行大数据提取信用风险评估特征。为了解决金融大数据带来的维度灾难和噪声问题,充分考虑了数据特征之间的相关性,对堆栈降噪自编码神经网络模型进行了改进,引入了截断的Karhunen-Loève展开作为噪声传入项,并在某商业银行的大数据平台上进行了一系列数据实验。实验结果显示:相比仅使用信用卡信息,利用银行大数据能使衡量正负样本分离度的指标——K-S值提升约11%;改进的堆栈降噪自编码神经网络方法具有更好的风险评估效果,准确率相比原模型提高了3%左右,验证了在银行大数据环境下进行信用风险评估的有效性。

关键词: 大数据, 堆栈降噪, 深度学习, 特征选择, 维度灾难, 信用风险评估

Abstract: Personal credit is the most important factor for banks to measure individual compliance risk.In recent years,with the increasing demand for borrowing in China,the traditional way of making credit evaluation,which is merely based on credit card transaction information,cannot fully meet the development needs of the banking industry.Therefore,this paper proposed to use the big data of personal consumption in bank as the important feature information to construct a richer user image.In order to overcome the dimensional curse and noise caused by the financial big data,a modified deep learning evaluation algorithm based on stacked denoising autoencoder neural network is proposed by considering the correlation of feature data and the truncated Karhunen-Loève expansion is applied as the noise input term,then a series of related data experiments are conducted on big data platform of a commercial bank.The experimental results show that,compared with the risk evaluation just based on credit card transaction information,the K-S value that measure the positive and negative sample resolution based on big data of bank improves 11%;the improved stack denoising autoencoder neural network method has better risk assessment results and the accuracy rate is increased by about 3% compared with the original model,thus validating the effectiveness of credit risk assessment in the big data environment of bank.

Key words: Big data, Credit risk assessment, Deep learning, Dimensional curse, Feature selection, Stacked denoising

中图分类号:

TP181

杨德杰, 章宁, 袁戟, 白璐. 基于堆栈降噪自编码网络的个人信用风险评估方法[J]. 计算机科学, 2019, 46(10): 7-13. https://doi.org/10.11896/jsjkx.181102216

YANG De-jie, ZHANG Ning, YUAN Ji, BAI Lu. Individual Credit Risk Assessment Based on Stacked Denoising Autoencoder Networks[J]. Computer Science, 2019, 46(10): 7-13. https://doi.org/10.11896/jsjkx.181102216

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基于堆栈降噪自编码网络的个人信用风险评估方法

Individual Credit Risk Assessment Based on Stacked Denoising Autoencoder Networks

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