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Recurrent Neural Networks for Loan Default Prediction: A Dual Deterministic and Uncertainty-Aware Framework | ||
| Journal of Data Science and Modeling | ||
| دوره 3، شماره 1 - شماره پیاپی 5، اسفند 2024، صفحه 79-93 اصل مقاله (385.75 K) | ||
| نوع مقاله: Research Manuscript | ||
| شناسه دیجیتال (DOI): 10.22054/jdsm.2026.89154.1082 | ||
| نویسندگان | ||
| Navid Ashraf؛ Shokouh Shahbeyk* ؛ Hossein Teimoori Faal | ||
| Faculty of Statistics, Mathematics, and Computer Science, Allameh Tabataba'i University, Tehran, Iran | ||
| چکیده | ||
| Abstract of paper: This study explores the application of Recurrent Neural Networks (RNNs) for predicting loan defaults, with a particular emphasis on incorporating uncertainty estimation into the predictive framework. Conventional RNN models demonstrate high accuracy, but they fail to provide quantitative measures of prediction uncertainty. To address this limitation, a dual modeling approach is proposed: a standard RNN model for achieving high predictive accuracy and an uncertainty-aware RNN model incorporating Bayesian inference. The uncertainty-aware model enables enhanced risk assessment through confidence level estimation and improved capture of complex temporal dependencies in financial data. Experimental results indicate that both proposed models outperform traditional methods, with the uncertainty-aware variant offering superior risk evaluation capabilities through its probabilistic outputs. These findings contribute to advancing credit risk assessment methodologies and offer practical value for financial institutions seeking more robust default prediction systems. Keyword: Recurrent Neural Networks (RNNs), Loan Default Prediction, Uncertainty Quantification, Credit Risk Assessment. | ||
| کلیدواژهها | ||
| Recurrent Neural Networks (RNNs)؛ Loan default prediction؛ Uncertainty quantification؛ Credit risk assessment | ||
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آمار تعداد مشاهده مقاله: 180 تعداد دریافت فایل اصل مقاله: 133 |
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