Kredi Skorunun Belirlenmesinde Yapay Sinir Ağları ve Karar Ağaçlarının Kullanımı Bir Model Önerisi

Yıl 2015, Sayı: 37, 1 - 22, 01.01.2015

Ferdi Sönmez

Öz

Kredi riski bankacılıkta öne çıkan risklerden birisi olup bankaların karlılık oranlarını üzerinde önemli etkiye sahiptir. Buna bağlı olarak, bankalar ve diğer finans kuruluşları için tüketicilere kredi verme konusunda karar vermede yardımcı kredi skorlama sistemleri geliştirmek önem arz etmektedir. Finansal kuruluşlar, kredi/borç talep eden müşterilerine kredi kullandırma kararlarında izleyecekleri yolu belirleyebilmek için, kredi skoru üzerinde etkisinin olduğu düşünülen faktörler arası ilişkileri ortaya koyan çeşitli içsel kredi değerlendirme modellerine başvurmaktadır. Literatürde, kredi skorlaması analizlerinde istatistik ve makine öğrenme teknikleri yaygın olarak incelenmiştir. Bu çalışmada başta bankalar olmak üzere finansal kuruluşlar ve bu kuruluşların müşterileri için de önem arz eden müşteri kredi skorunun belirlenmesi konusu ele alınmaktadır. İstatistiksel teknikler ve makine öğrenme teknikleri, son yıllarda ticari kredilerindeki büyüme ile giderek daha önemli hale gelmiştir. İstatistiksel yöntemler geniş bir yelpazede uygulanmış olmasına rağmen ticari gizlilik nedeniyle literatürde sınırlı olarak yer almaktadır. Bu çalışmada, bir bankaya başvurarak kredi talep eden bireysel müşterilerin kredi talebinin kabul edilmesi ya da reddedilmesi kararının verilmesine yönelik, yapay sinir ağları (YSA) metodolojisini temel alan bir yazılım modeli önerilmektedir. Bir mevduat bankasına ait gerçek veri kümesi uygulamada kullanılmış ve sonuçları ayrıca geliştirilen karar ağacı (KA) modelinin sonuçları ile karşılaştırılmıştır. Her iki model doğrultusunda, bir bankaya gelen bireysel kredi başvurusuna yönelik verilecek nihai karar nümerik bir örnek üzerinden değerlendirilmektedir. Elde edilen bulgular, YSA modelinin müşteri kredi skorunun tespitinde yüksek öngörü doğruluğunu sağlama ve kredi riskini belirli ölçüde tahmin edebilmede KA modeline göre başarılı olduğunu göstermektedir. Bununla birlikte, geliştirilen yazılım modelinin kuruluşlara kredilerden elde ettikleri karlılık oranlarının artması hususunda da yararlı olacağı düşünülmektedir

Anahtar Kelimeler

Kredi riski, kredi değerliliği, kredi skoru, ticari banka, karar ağaçları, yapay sinir ağları

Using Artificial Neural Networks and Decision Trees for Credit Scoring: A Model Proposal

Öz

Credit risk is one of the major risks faced by commercial banks and has an important effect on profitability ratios. Consequently, the credit scoring system in decision making for banks and other financial institutions lending to consumers is very important. Financial institutions constitute various internal credit assessment models reveal relationships between variables affecting credit scoring. In the literature, statistics and machine learning techniques for credit ratings have been widely studied. In this study, particularly for banks, financial institutions and customers of these institutions are discussed, including issues that are important to determine customer’s credit score. Customer’s credit score is a term used to allocate credit using statistical techniques and methods of machine learning techniques. Such methods have become increasingly more important in recent years with the growth in commercial loans. Although a wide range of applied statistical methods included in the literature, they are limited because of commercial confidentiality. In this study, for issuing the decision on the assessment of customers’ demand for credit, acceptance of loan requests or refusal, a software model based on the artificial neural network (ANN) methodology is recommended. A real data set belongs to a deposit bank was used for the application. In addition to this, this study benchmarks the performance of ANN model with decision trees (DT) model. Based on the findings, ANN model outperforms the DT model in terms of estimating credit risk and customer’s credit score. It is also considered that the model would be helpful in increasing the profitability of lenders gained from credits

Anahtar Kelimeler

Credit risk, credit worthiness, credit score, commercial banks, decision trees, neural networks

Kaynakça

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