Affiliations:
Finance School, Inner Mongolia University of Finance and Economics, Hohhot, Inner Mongolia, China
Correspondence:
[*]
Corresponding author. Ruicheng Yang, Postal address: Finance School, Inner Mongolia University of Finance and Economics, Hohhot, Inner Mongolia, 010000, China. E-mail: yang-ruicheng@163.com.
Abstract: Categorical Boost (CatBoost) is a new approach in credit rating. In the process of classification and prediction using CatBoost, parameter tuning and feature selection are two crucial parts, which affect the classification accuracy of CatBoost significantly. This paper proposes a novel SSA-CatBoost model, which mixes Sparrow Search Algorithm (SSA) and CatBoost to improve classification and prediction accuracy for credit rating. In terms of parameter tuning, the SSA-CatBoost optimization obtains the most optimal parameters by iterating and updating the sparrow’s position, and utilize the optimal parameter to improve the accuracy of classification and prediction. In terms of feature selection, a novel wrapping method called Recursive Feature Elimination algorithm is adopted to reduce the adverse impact of noise data on the results, and further improves calculation efficiency. To evaluate the performance of the proposed SSA-CatBoost model, P2P lending datasets are employed to assess the prediction results, then the interpretable Shap package is used to explain the reason why the proposed model considers a sample as good or bad. Consequently, the experimental results show that the SSA-CatBoost model has an ideal accuracy in classification and prediction for credit rating by comparing the SSA-CatBoost model with the CatBoost model and other well-known machine learning models.
