Artificial metaplasticity neural network applied to credit scoring.

The assessment of the risk of default on credit is important for financial institutions. Different Artificial Neural Networks (ANN) have been suggested to tackle the credit scoring problem, however, the obtained error rates are often high. In the search for the best ANN algorithm for credit scoring, this paper contributes with the application of an ANN Training Algorithm inspired by the neurons' biological property of metaplasticity. This algorithm is especially efficient when few patterns of a class are available, or when information inherent to low probability events is crucial for a successful application, as weight updating is overemphasized in the less frequent activations than in the more frequent ones. Two well-known and readily available such as: Australia and German data sets has been used to test the algorithm. The results obtained by AMMLP shown have been superior to state-of-the-art classification algorithms in credit scoring.