Genetic programming for credit scoring : the case of Egyptian public sector banks

Abdou, HAH 2009, 'Genetic programming for credit scoring : the case of Egyptian public sector banks' , Expert Systems with Applications, 36 (9) , pp. 11402-11417.

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Credit scoring has been widely investigated in the area of finance, in general, and banking sectors, in particular. Recently, genetic programming (GP) has attracted attention in both academic and empirical fields, especially for credit problems. The primary aim of this paper is to investigate the ability of GP, which was proposed as an extension of genetic algorithms and was inspired by the Darwinian evolution theory, in the analysis of credit scoring models in Egyptian public sector banks. The secondary aim is to compare GP with probit analysis (PA), a successful alternative to logistic regression, and weight of evidence (WOE) measure, the later a neglected technique in published research. Two evaluation criteria are used in this paper, namely, average correct classification (ACC) rate criterion and estimated misclassification cost (EMC) criterion with different misclassification cost (MC) ratios, in order to evaluate the capabilities of the credit scoring models. Results so far revealed that GP has the highest ACC rate and the lowest EMC. However, surprisingly, there is a clear rule for the WOE measure under EMC with higher MC ratios. In addition, an analysis of the dataset using Kohonen maps is undertaken to provide additional visual insights into cluster groupings.

Item Type: Article
Themes: Subjects / Themes > H Social Sciences > HG Finance
Subjects outside of the University Themes
Schools: Schools > Salford Business School

Schools > Salford Business School > Salford Business School Research Centre
Journal or Publication Title: Expert Systems with Applications
Publisher: Elsevier
Refereed: Yes
ISSN: 0957-4174
Depositing User: Dr. Hussein A. Abdou
Date Deposited: 30 Nov 2009 10:10
Last Modified: 16 Feb 2022 08:55

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