ISSN 2394-5125
 

Research Article 


A Machine-Learning Framework for credit risk assessment of margin lending in the capital market of Iran

Reza Tehrani, Babak Nadjar Araabi, Mohsen Mehrara, Ehsan Mohebi.

Abstract
In this article we use techniques of machine-learning to build forecasting models of credit risk for margin lending in
the Stock Market of Iran which consists of two markets: Tehran Stock Exchange (TSE) and Iran Fara Bourse (IFB).
By combining borrower transactions, portfolios and credit scores data from August 2016 to September 2020 for a
sample of a major brokerís customers, we are able to create out-of-sample forecasts that substantially increase the
classification rates of borrower delinquencies and defaults, with ROC-AUC score of prediction being about 0.97 for
ensemble model over the period. In this work, we propose a supervised learning model for credit risk assessment
which offers an opportunity for brokerage firms to develop an automated credit allocation model for their eligible
customers.

Key words: Credit risk Margin lending Portfolio performance Machine learning Classification


 
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How to Cite this Article
Pubmed Style

Reza Tehrani, Babak Nadjar Araabi, Mohsen Mehrara, Ehsan Mohebi. A Machine-Learning Framework for credit risk assessment of margin lending in the capital market of Iran. JCR. 2021; 8(1): 440-458. doi:10.31838/jcr.08.01.50


Web Style

Reza Tehrani, Babak Nadjar Araabi, Mohsen Mehrara, Ehsan Mohebi. A Machine-Learning Framework for credit risk assessment of margin lending in the capital market of Iran. http://www.jcreview.com/?mno=51963 [Access: May 30, 2021]. doi:10.31838/jcr.08.01.50


AMA (American Medical Association) Style

Reza Tehrani, Babak Nadjar Araabi, Mohsen Mehrara, Ehsan Mohebi. A Machine-Learning Framework for credit risk assessment of margin lending in the capital market of Iran. JCR. 2021; 8(1): 440-458. doi:10.31838/jcr.08.01.50



Vancouver/ICMJE Style

Reza Tehrani, Babak Nadjar Araabi, Mohsen Mehrara, Ehsan Mohebi. A Machine-Learning Framework for credit risk assessment of margin lending in the capital market of Iran. JCR. (2021), [cited May 30, 2021]; 8(1): 440-458. doi:10.31838/jcr.08.01.50



Harvard Style

Reza Tehrani, Babak Nadjar Araabi, Mohsen Mehrara, Ehsan Mohebi (2021) A Machine-Learning Framework for credit risk assessment of margin lending in the capital market of Iran. JCR, 8 (1), 440-458. doi:10.31838/jcr.08.01.50



Turabian Style

Reza Tehrani, Babak Nadjar Araabi, Mohsen Mehrara, Ehsan Mohebi. 2021. A Machine-Learning Framework for credit risk assessment of margin lending in the capital market of Iran. Journal of Critical Reviews, 8 (1), 440-458. doi:10.31838/jcr.08.01.50



Chicago Style

Reza Tehrani, Babak Nadjar Araabi, Mohsen Mehrara, Ehsan Mohebi. "A Machine-Learning Framework for credit risk assessment of margin lending in the capital market of Iran." Journal of Critical Reviews 8 (2021), 440-458. doi:10.31838/jcr.08.01.50



MLA (The Modern Language Association) Style

Reza Tehrani, Babak Nadjar Araabi, Mohsen Mehrara, Ehsan Mohebi. "A Machine-Learning Framework for credit risk assessment of margin lending in the capital market of Iran." Journal of Critical Reviews 8.1 (2021), 440-458. Print. doi:10.31838/jcr.08.01.50



APA (American Psychological Association) Style

Reza Tehrani, Babak Nadjar Araabi, Mohsen Mehrara, Ehsan Mohebi (2021) A Machine-Learning Framework for credit risk assessment of margin lending in the capital market of Iran. Journal of Critical Reviews, 8 (1), 440-458. doi:10.31838/jcr.08.01.50