Chapter 8

Selecting Best Features for Predicting Bank Loan Default

Zahra Yazdani*, Mohammad Mehdi Sepehri and Babak Teimourpour,    *Group of Information Technology Management, Payam Noor University, Tehran, Iran,    Department of Industrial Engineering, Tarbiat Modares University, Tehran, Iran

Abstract

In recent decades, credit risk evaluation has become a very important subject in the bank industry. The recommended solution is to use the standardized or internal ratings-based (IRB) approach for credit risk assessment in order to calculate the regulatory capital. According to the definition proposed in Basel II, the probability of default is the most important component in credit risk.

This research presents a framework to identify features ...

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