The Parameter Optimization of Support Vector Machine with Genetic Algorithm in Risk Early Warning Models

Yıl 2024, , 354 - 366, 22.12.2024

Muhammed Işık

https://doi.org/10.7240/jeps.1519469

Öz

Machine Learning algorithms are widely used by lenders in risk early warning models. With Machine Learning, the risk levels of individual and corporate customers are determined at the account and customer level. Lenders want to manage risk by evaluating the payment performance of customer or account with the help of Machine Learning algorithms. Banks, which have an important place among lenders, develop risk early warning models with the help of learning algorithms using customer information. In the development process of risk early warning models, while banks generally use customer information and credit bureau information for the individual segment, they use financial, non-financial and behaviour-based information for the corporate segment. In this study, it is planned to develop a risk early model for customers in corporate service segment. For the customers of corporate service segment, Balance Sheet and Income Statement items were used and the financial ratios were calculated for risk early warning models. In the development of risk early warning models, Mutual Information method was used as a novel feature selection approach and Support Vector Machine method (linear function, radial basis function and sigmoid function) was used as a supervised learning approach. By changing the neighbourhood metric (k), important patterns were discovered with the Mutual Information method in feature selection process. The optimal C and gamma parameters for Support Vector Machine models have been tried to be determined with the Genetic Algorithm, which is among the Meta-Heuristic algorithms. In order to find the optimal metrics in this study, the metric values for all parameters of the SVM model (function specific) have been kept quite wide. In this dataset of corporate service customers, the small neighbourhood metric has been found to have a significant impact on model learning and performance.

Anahtar Kelimeler

Risk Early Warning Models, Mutual Information, Support Vector Machine, Parameter Optimization, Genetic Algorithm

Risk Erken Uyarı Modellerinde Destek Vektör Makinesinin Genetik Algoritma ile Parametre Optimizasyonu

Öz

Makine Öğrenimi ve Derin Öğrenme algoritmaları, kredi verenler tarafından risk erken uyarı modellerinde yaygın olarak kullanılmaktadır. Makine Öğrenmesi ve Derin Öğrenme algoritmaları ile bireysel ve kurumsal müşterilerin risk seviyeleri hesap ve müşteri bazında belirlenmektedir. Kredi verenler, müşterinin veya hesabın ödeme performansını Makine Öğrenmesi ve Derin Öğrenme algoritmaları yardımıyla değerlendirerek riski yönetmek ister. Kredi verenler arasında önemli bir yere sahip olan bankalar, müşteri bilgilerini kullanarak öğrenme algoritmaları yardımıyla risk erken uyarı modelleri geliştirmektedirler. Risk erken uyarı modellerinin geliştirilmesi sürecinde bankalar bireysel segment için genellikle müşteri bilgileri ve kredi bürosu bilgilerini kullanırken, kurumsal segment için finansal, finansal olmayan ve davranış bazlı bilgileri kullanmaktadırlar. Bu çalışmada kurumsal hizmet segmentindeki müşterilere yönelik bir risk erken modelinin geliştirilmesi planlanmaktadır. Kurumsal hizmet segmentindeki müşteriler için Bilanço ve Gelir Tablosu kalemleri kullanılmıştır. Bu tablolar kullanılarak risk erken uyarı modelleri için finansal rasyolar hesaplanmıştır. Risk erken uyarı modellerinin geliştirilmesinde yeni bir özellik seçme yaklaşımı olarak Karşılıklı Bilgi yöntemi, denetimli öğrenme yaklaşımı olarak ise Destek Vektör Makinesi yöntemi (doğrusal fonksiyon, radyal temel fonksiyon ve sigmoid fonksiyon) kullanılmıştır. Komşuluk metriği (k) değiştirilerek, Karşılıklı Bilgi yöntemiyle özellik seçimi sürecinde önemli örüntüler keşfedilmiştir. Meta-sezgisel algoritmalar arasında yer alan Genetik Algoritma ile Destek Vektör Makinesi modelleri için en uygun C ve gamma parametreleri belirlenmeye çalışılmıştır. Bu veri seti için küçük komşuluk ölçüsünün modellerin öğrenme ve performansları üzerinde önemli bir etkiye sahip olduğu sonucuna varılmıştır.

Anahtar Kelimeler

Risk Erken Uyarı Modelleri, Karşılıklı Bilgi, Destek Vektör Makinesi, Parametre Optimizasyonu, Genetik Algoritma

Etik Beyan

Bu çalışmanın özgün bir çalışma olduğunu ve tüm aşamalarında bilimsel etik, ilke ve kurallara uygun davrandığımı beyan ederim.

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