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Comparing Two Novel Hybrid MRDM Approaches to Consumer Credit Scoring Under Uncertainty and Fuzzy Judgments

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Abstract

In the recent years, various statistical and computational intelligence or machine learning techniques have contributed to the progress of automation or semiautomation for measuring consumer credit scoring in the banking sector. However, most of the Taiwanese commercial banks still rely on seasoned staffs’ judgments on making the final approvals or rejections. To enhance the understanding and transparency of a decision support system (or model) that can assist bank staffs on making their consumer credit loan decisions—while uncertainty exist—is of high business value. One of the promising approaches is multiple rule-based decision-making (MRDM), a subfield of the hybrid multiple criteria decision-making that leverages the advantages of machine learning, soft computing, and decision methods (or techniques). The MRDM approach reveals comprehensible logics (rules or patterns) that can be justified and compared with the existing knowledge of veterans to reinforce the confidence of their judgments. Therefore, in the present study, we propose and compare two MRDM approaches in assisting decision makers on the consumer credit loan evaluations. A set of historical data from a commercial bank in Taiwan is analyzed for illustrating the plausible pros and cons of the two approaches with discussions.

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Acknowledgements

A pilot study was conducted and reported at the IJCRS2017 conference in Poland (July/2017). The data and opinions from the senior staffs are appreciated. This study received financial supports from two grants under the two project numbers: (1) 104-2410-H-305-052-MY3 and (2) 105-2410-H-034-019-MY2, both from the Ministry of Science and Technology (MOST) of Taiwan.

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Correspondence to Gwo-Hshiung Tzeng.

Appendices

Appendix: 1

The required steps to form DANP weights are found in [10, 16], which begins from obtained an initial average influence matrix A (in Table 15), and the required steps are as follows:

Table 15 Initial average influence matrix A

Step 1 Normalize A into a direct-influence matrix D

Step 2 Get total influence matrix T by \( \varvec{T} = \varvec{D} \times \left( {\varvec{I} - \varvec{D}} \right)^{ - 1} \)

Step 3 Transform T into the unweighted supermatrix W

Step 4 Normalized dimensional matrix \( \varvec{T}_{D}^{N} \)(Table 16)

Table 16 Normalized dimensional matrix \( \varvec{T}_{D}^{N} \)

Step 5 Adjust W by using \( \varvec{T}_{D}^{N} \) to become the DEMATEL adjusted supermatrix \( \varvec{W}^{*} \) (Table 17)

Table 17 DEMATEL-adjusted supermatrix \( \varvec{W}^{*} \)

Step 6 Obtain the final DANP supermatrix by multiplying with itself several times until it converges to \( \varvec{W}^{DANP} \) (the DANP influential weights are shown in Table 4)

Appendix: 2

See Table 18

Table 18 Top five positive and negative rules

Appendix: 3

See Tables 19, 20, 21

Table 19 Verbal expressions of the three DMs (parameters of fuzzy triangular function)
Table 20 Discretized values of the four applicants
Table 21 Verbal opinions for the four applicants (bipolar model)

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Shen, KY., Sakai, H. & Tzeng, GH. Comparing Two Novel Hybrid MRDM Approaches to Consumer Credit Scoring Under Uncertainty and Fuzzy Judgments. Int. J. Fuzzy Syst. 21, 194–212 (2019). https://doi.org/10.1007/s40815-018-0525-0

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  • DOI: https://doi.org/10.1007/s40815-018-0525-0

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