Building the ensembles of credit scoring models

The article is devoted to solving the actual problem of increasing the efficiency of assessing the credit risks of individual borrowers by finding the optimal combination of the results of calculations of specific scoring models. The principles of the formation of an ensemble of models are given and the existing approaches to the construction of ensemble structures are analyzed. In the process of experimental research has been applied one of the modifications of the boosting algorithm and implemented the author's algorithm for constructing an ensemble of models based on the specialization of experts. The radial-basis function neural networks were used as specific expert models. As a result of a comparative analysis of the efficiency of the used ensemble technologies it was confirmed that the algorithm for constructing an ensemble based on the specialization of experts proposed by the authors is the most adapted for the task of assessing credit risk.