A comparison of variable selection techniques for credit scoring

Leung, K, Cheong, F, Cheong, C, O'Farrell, S and Tissington, R 2008, 'A comparison of variable selection techniques for credit scoring', in C.-M. Ou (ed.) Proceedings of the 7th International Conference on Computational Intelligence in Economics and Finance (CIEF 2008), Taoyuan, Taiwan, 5-7 December 2008.


Document type: Conference Paper
Collection: Conference Papers

Title A comparison of variable selection techniques for credit scoring
Author(s) Leung, K
Cheong, F
Cheong, C
O'Farrell, S
Tissington, R
Year 2008
Conference name The 7th International Conference on Computational Intelligence in Economics and Finance
Conference location Taoyuan, Taiwan
Conference dates 5-7 December 2008
Proceedings title Proceedings of the 7th International Conference on Computational Intelligence in Economics and Finance (CIEF 2008)
Editor(s) C.-M. Ou
Publisher Kainan University
Place of publication Taiwan
Abstract Selecting new and more predictive variables is fundamental for scorecards to perform well. This study makes use of a very large set of credit scoring data and investigates the application of several variable selection techniques for scorecard development. Among the four different techniques used, stepwise regression, which is currently the most popular technique used in practice, was found to perform best.
Subjects Conceptual Modelling
Neural, Evolutionary and Fuzzy Computation
Financial Econometrics
Keyword(s) credit scoring
variable selection
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