A credit risk prediction model combining ensemble learning and deep learning through three-way decisions

Credit risk prediction models have long been a focal point of research for financial institutions. Machine learning models use two-way decisions to generate judgement results, which may lead to high decision risks. To reduce the risk of decision errors caused by two-way decisions, we propose a novel credit risk prediction model using three-way decisions and a combination of ensemble learning and deep learning. In this model, ensemble learning methods are employed to evaluate the default probability. An optimization objective is built to learn three-way decision rules and samples that do not require explicit decisions are categorised into boundary regions using three-way decisions. We construct a deep neural network to extract deep features and provide supplementary information for decision-making related to boundary samples. Subsequently, we employ several publicly available datasets and one real-world dataset to conduct experiments. The results demonstrate that the proposed combined model outperforms other benchmarking methods and more effectively identifies defaulters.

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Publication Details

Journal
Journal Of Big Data
Published
2026-02-12
DOI
https://doi.org/10.1186/s40537-026-01375-y
Primary Topic
Financial Distress and Bankruptcy Prediction
Type
article
Field-Weighted Citation Impact
0.00
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article

A credit risk prediction model combining ensemble learning and deep learning through three-way decisions

Yusheng Li, Ran Zhao, Yaopeng An
Journal Of Big Data
Financial Distress and Bankruptcy Prediction
article

A credit risk prediction model combining ensemble learning and deep learning through three-way decisions

Yusheng Li, Ran Zhao, Yaopeng An
article en

Abstract

Credit risk prediction models have long been a focal point of research for financial institutions. Machine learning models use two-way decisions to generate judgement results, which may lead to high decision risks. To reduce the risk of decision errors caused by two-way decisions, we propose a novel credit risk prediction model using three-way decisions and a combination of ensemble learning and deep learning. In this model, ensemble learning methods are employed to evaluate the default probability. An optimization objective is built to learn three-way decision rules and samples that do not require explicit decisions are categorised into boundary regions using three-way decisions. We construct a deep neural network to extract deep features and provide supplementary information for decision-making related to boundary samples. Subsequently, we employ several publicly available datasets and one real-world dataset to conduct experiments. The results demonstrate that the proposed combined model outperforms other benchmarking methods and more effectively identifies defaulters.

Journal Of Big DataVol. 13(1)
Hebei University of Technology (CN)
Peace, Justice and strong institutions
Openalex Percentile: Top 59%
Financial Distress and Bankruptcy Prediction
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