Optimization of nearest neighbor classifiers via metaheuristic algorithms for credit risk assessment

Authors:
Yannis Marinakis;Magdalene Marinaki;Michael Doumpos;Nikolaos Matsatsinis;Constantin Zopounidis
Affiliations:
Decision Support Systems Laboratory Department of Production Engineering and Management, Technical University of Crete, Chania, Greece 73100;Industrial Systems Control Laboratory Department of Production Engineering and Management, Technical University of Crete, Chania, Greece 73100;Financial Engineering Laboratory Department of Production Engineering and Management, Technical University of Crete, Chania, Greece 73100;Decision Support Systems Laboratory Department of Production Engineering and Management, Technical University of Crete, Chania, Greece 73100;Financial Engineering Laboratory Department of Production Engineering and Management, Technical University of Crete, Chania, Greece 73100
Venue:
Journal of Global Optimization
Year:
2008

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Abstract

The classification problem consists of using some known objects, usually described by a large vector of features, to induce a model that classifies others into known classes. The present paper deals with the optimization of Nearest Neighbor Classifiers via Metaheuristic Algorithms. The Metaheuristic Algorithms used include tabu search, genetic algorithms and ant colony optimization. The performance of the proposed algorithms is tested using data from 1411 firms derived from the loan portfolio of a leading Greek Commercial Bank in order to classify the firms in different groups representing different levels of credit risk. Also, a comparison of the algorithm with other methods such as UTADIS, SVM, CART, and other classification methods is performed using these data.