Credit scoring using three-way decisions with probabilistic rough sets

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dc.coverageDOI: 10.1016/j.ins.2018.08.001
dc.creatorMaldonado, Sebastián
dc.creatorPeters, Georg
dc.creatorWeber, Richard
dc.date2020
dc.date.accessioned05-01-2026 18:08
dc.date.available05-01-2026 18:08
dc.description<p>Credit scoring is a crucial task within risk management for any company in the financial sector. On the one hand, it is in the self-interest of banks to avoid approving credits to customers who probably default. On the other hand, regulators require strict risk management systems from banks to protect their customers and, from “too big to fail institutions”, to avoid bankruptcy with negative impacts on an economy as a whole. However, credit scoring is also expensive and time-consuming. So, any possible method, like three-way decisions, to further increase its efficiency, is worth a try. We propose a two-step approach based on three-way decisions. Customers whose credit applications can be approved or rejected right away are decided in a first step. For the remaining credit applications, additional information is gathered in a second step. Hence, these decisions are more expensive than the ones in the first step. In our paper, we present a methodology to apply three-way decisions with probabilistic rough sets for credit scoring and an extensive case study with more than 7000 credit applications from Chilean micro-enterprises.</p>eng
dc.identifierhttps://investigadores.uandes.cl/en/publications/3021d72a-66af-4722-87a4-1b3ef383253b
dc.languageeng
dc.rightsinfo:eu-repo/semantics/openAccess
dc.sourcevol.507 (2020) p.700-714
dc.subjectBusiness analytics
dc.subjectCredit scoring
dc.subjectProbabilistic rough sets
dc.subjectThree-way decisions
dc.titleCredit scoring using three-way decisions with probabilistic rough setseng
dc.typeArticleeng
dc.typeArtículospa
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