Credit Risk Prediction Model for Listed Companies Based on CNN-LSTM and Attention Mechanism

被引:9
|
作者
Li, Jingyuan [1 ]
Xu, Caosen [1 ]
Feng, Bing [1 ]
Zhao, Hanyu [2 ]
机构
[1] Wuhan Inst Technol, Sch Management, Wuhan 430205, Peoples R China
[2] Beijing Acad Artificial Intelligence, Beijing 100084, Peoples R China
基金
国家重点研发计划;
关键词
CNN; attentional mechanisms; LSTM; credit risk;
D O I
10.3390/electronics12071643
中图分类号
TP [自动化技术、计算机技术];
学科分类号
0812 ;
摘要
The financial market has been developing rapidly in recent years, and the issue of credit risk concerning listed companies has become increasingly prominent. Therefore, predicting the credit risk of listed companies is an urgent concern for banks, regulators and investors. The commonly used models are the Z-score, Logit (logistic regression model), the kernel-based virtual machine (KVM) and neural network models. However, the results achieved could be more satisfactory. This paper proposes a credit-risk-prediction model for listed companies based on a CNN-LSTM and an attention mechanism, Our approach is based on the benefits of the long short-term memory network (LSTM) model for long-term time-series prediction combined with a convolutional neural network (CNN) model. Furthermore, the advantages of being integrated into a CNN-LSTM model include reducing the complexity of the data, improving the calculation speed and training speed of the model and solving the possible lack of historical data in the long-term sequence prediction of the LSTM model, resulting in prediction accuracy. To reduce problems, we introduced an attention mechanism to assign weights independently and optimize the model. The results show that our model has distinct advantages compared with other CNNs, LSTMs, CNN-LSTMs and other models. The research on the credit-risk prediction of the listing formula has significant meaning.
引用
收藏
页数:18
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