Learning Bayesian Network Classifiers for Credit Scoring Using Markov Chain Monte Carlo Search

In this paper, we will evaluate the power and usefulness of Bayesian network classifiers for credit scoring. Various types of Bayesian network classifiers will be evaluated and contrasted including unrestricted Bayesian network classifiers learnt using Markov Chain Monte Carlo (MCMC) search. The experiments will be carried out on three real life credit scoring data sets. It will be shown that MCMC Bayesian network classifiers have a very good performance and by using the Markov Blanket concept, a natural form of input selection is obtained, which results in parsimonious and powerful models for financial credit scoring.

• Type: Conference
• Year: 2002
• Where: ICPR
• Authors: Bart Baesens, Michael Egmont-Petersen, Robert Castelo, Jan Vanthienen
• Keywords: Bayesian Network Classifiers, Computer Vision, ICPR 2002, MCMC Bayesian Network, Unrestricted Bayesian Network