Credit risk assessment method driven by asymmetric loss function

Credit risk assessment is significantly hindered by the problem of class imbalance, and cost-sensitive methods represent an effective strategy to address this issue. However, most algorithms tend to approach the imbalance from a class perspective, overlooking the finer details at the sample level. Moreover, such methods are susceptible to interference from noise and outliers. In response to these challenges, this paper proposes an asymmetric cost-sensitive support vector machine (QTSVM) that combines the quadratic type squared error loss function (QTSELF) with support vector machine (SVM). It not only leverages the asymmetry of the loss function by applying varying penalties based on classification errors but also employs different processing measures for samples from different classes. Additionally, it enhances model robustness by imposing a tiny penalty on noise or outliers. The adaptive moment estimation (Adam) algorithm is employed to optimize QTSVM. Extensive experiments and statistical tests profoundly demonstrate the superior performance of QTSVM.