A hybrid metaheuristic optimised ensemble classifier with self organizing map clustering for credit scoring

Credit scoring is a mathematical and statistical tool that aids financial institutions in deciding suitable candidates for the issuance of loans, based on the analysis of the borrower’s financial history. Distinct groups of borrowers have unique characteristics that must be identified and trained on to increase the accuracy of classification models for all credit borrowers that financial institutions serve. Numerous studies have shown that models based on diverse base-classifier models outperform other statistical and AI-based techniques for related classification problems. This paper proposes a novel multi-layer clustering and soft-voting-based ensemble classification model, aptly named Self Organizing Map Clustering with Metaheuristic Voting Ensembles (SCMVE) which uses a self-organizing map for clustering the data into distinct clusters with their unique characteristics and then trains a sailfish optimizer powered ensemble of SVM-KNN base classifiers for classification of each distinct identified cluster. We train and evaluate our model on the standard public credit scoring datasets—namely the German, Australian and Taiwan datasets and use multiple evaluation scores such as precision, F1 score, recall to compare the results of our model with other prominent works in the field. On evaluation, SCMVE shows outstanding results (95% accuracy on standard datasets) when compared with popular works in the field of credit scoring.