Investigating the Effect of Class Balancing Methods on the Performance of Machine Learning Techniques: Credit Risk Application

Yıl 2024, Cilt: 5 Sayı: 1, 55 - 70, 04.07.2024

Migraç Enes Furkan Milli Serkan Aras İpek Deveci Kocakoç

https://doi.org/10.56203/iyd.1436742

Öz

Credit risk arises as a result of the failure of the loans given by banks to the customers to fulfill their obligations at the end of the specified term. Technological advances allow the use of machine learning methods in various sectors. These methods aim to facilitate the identification of customers at risk with the system adapted to the creditworthiness processes of banks. For this purpose, in order to make the most appropriate evaluation in the lending process of banks, re-sampling techniques to eliminate the problem of class imbalance encountered in unbalanced data sets were made balanced and their effects on machine learning were investigated. During the implementation phase, German, Australian and HMEQ credit data sets were used. Different machine learning classification methods such as Logistic Regression (LR), K-Narest Neighbor (KNN), Naive Bayes (NB), Support Vector Machines (SVM), Multilayer Perceptron (MLP), Decision Trees (DT), Random Forests (RF), Gradient Boosting Decision Trees (GBDT), Extremely Randomized Trees, Hard and Soft Voting were used to detect risky customers. The problem of class imbalance was balanced with resampling and hybrid techniques such as Random Oversampling (ROS), Random Undersampling (RUS), Balanced Bagging Classifier (BBC), SMOTE-Tomek Links and SMOTE-ENN. In this context, the performances of three different data sets were examined in four different scenarios. As a result of the study, the hybrid method, in which oversampling and undersampling methods are used together for the class balancing problem, showed the best classification performance among machine learning techniques.

Anahtar Kelimeler

Credit Risk, Machine Learning, Ensemble Learning, Classification Algorithms, Class Balancing, Resampling

Sınıf Dengeleme Yöntemlerinin Makine Öğrenmesi Tekniklerinin Performansları Üzerindeki Etkilerinin Araştırılması: Kredi Riski Uygulaması

Öz

Bankalar tarafından müşterilere verilen kredilerin belirlenen vade sonunda yükümlülüklerini yerine getirememesi sonucu kredi riski ortaya çıkmaktadır. Teknolojik gelişmeler, çeşitli sektörlerde makine öğrenmesi yöntemlerinin kullanılmasına olanak tanımaktadır. Bu yöntemler, bankaların kredibilite süreçlerine uyarlanan sistem ile risk altındaki müşterilerin saptanmasını kolaylaştırmayı amaçlamaktadır. Bu amaçla, bankaların kredi verme sürecinde en uygun değerlendirmenin yapılabilmesi için dengesiz veri setlerinde karşılaşılan sınıf dengesizliği probleminin ortadan kaldırılması için yeniden örnekleme teknikleri ile veri setleri dengeli bir hâle getirilerek makine öğrenmesi üzerindeki etkileri araştırılmıştır. Uygulamada, Alman, Avustralya ve HMEQ kredi veri setleri kullanılmıştır. Riskli müşterilerin belirlenmesinde Lojistik Regresyon (LR), K-En Yakın komşu (KNN), Naive Bayes (NB), Destek Vektör Makineleri (SVM), Çok Katmanlı Algılayıcı (MLP), Karar Ağaçları (DT), Rassal Ormanlar (RF), Gradyan Artırma Karar Ağaçları (GBDT), Extremely Randomized Trees, Sert ve Yumuşak Oylama olmak üzere farklı makine öğrenmesi teknikleri kullanılmıştır. Sınıf dengesizliği sorunu; Random Oversampling (ROS), Random Undersampling (RUS), Balanced Bagging Classifier (BBC), SMOTE-Tomek Links ve SMOTE-ENN gibi yeniden örnekleme ve hibrit teknikler ile sınıflar dengeli hâle getirilmiştir. Bu kapsamda, üç farklı veri kümesinin performansları dört farklı senaryo üzerinde incelenmiştir. Çalışmanın sonucunda, sınıf dengeleme problemi için aşağı ve yukarı örnekleme yöntemlerinin bir arada kullanıldığı hibrit yöntem, makine öğrenme teknikleri arasında en iyi sınıflandırma performansı göstermiştir.

Anahtar Kelimeler

Kredi Riski, Makine Öğrenmesi, Topluluk Öğrenmesi, Sınıflandırma Algoritmaları, Yeniden Örnekleme, Sınıf Dengeleme.

Kaynakça

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