Developing an Intelligent Model Based on Fuzzy Multilayer Neural Network for Improving Credit Risk Management under Uncertain Conditions

Abstract

This study utilizes the advantages of soft calculations, represented as intelligent combined methods and computational intelligence methods, to enhance credit risk management. For this purpose, the proposed method contains the fuzzy regression and artificial neural network (ANN). In this way, the parameters of neural network are fuzzy, encompassing weights and errors to model under uncertain conditions. Then, fuzzy neural networks form the system where the optimal decision is obtained using the highest degree of superiority by fuzzy inferences. Finally, using the credit information of some countries, the efficiency of the proposed combined model in credit scoring analysis has been shown.

Credit risk management analysis: An application of fuzzy theory to forecast the probability of default in a financial institution

“…Methods based on fuzzy theory classify the probability of default to identify credit risk according to the customer, loan product, process, and market characteristics. For details, see Ghasemi, et. al.…”