Establishing a reasonable and effective feature system is the basis of credit risk early warning. Whether the system design is appropriate directly determines the accuracy of the credit risk evaluation results. In this paper, we proposed a feature system through a validity index with maximum discrimination and commercial banks' loan profit maximization. First, the first objective function is the minimum validity index constructed by the intra-class, between-class, and partition coefficients. The maximum difference between the right income and wrong cost is taken as the second objective function to obtain the optimal feature combination. Second, the feature weights are obtained by calculating the change in profit after deleting each feature with replacement to the sum of all change values. An empirical analysis of 3, 425 listed companies from t-1 to t-5 time windows reveals that five groups of feature systems selected from 614 features can distinguish between defaults and non-defaults. Compared with 14 other models, it is found that the feature systems can provide at least five years' prediction and enable financial institutions to obtain the maximum profit.

In the age of big data, machine learning models are globally used to execute default risk prediction. Imbalanced datasets and redundant features are two main problems that can reduce the performance of machine learning models. To address these issues, this study conducts an analysis from the viewpoint of different balance ratios as well as the selection order of feature selection. Accordingly, we first use data rebalancing and feature selection to obtain 32 derived datasets with varying ratios of balance and feature combinations for each dataset. Second, we propose a comprehensive metric model based on multimachine learning algorithms (CMM‐MLA) to select the best‐derived dataset with the optimal balance ratio and feature combination. Finally, the convolutional neural network (CNN) is trained on the selected derived dataset to evaluate the performance of our approach in terms of type‐II error, accuracy, G‐mean, and AUC. There are two contributions in this study. First, the optimal balance ratio is found through the classification accuracy, which changes the deficiency of the existing research that samples are imbalanced or the balance ratio is 1 : 1 and ensures the accuracy of the classification model. Second, a comprehensive metric model based on the machine learning algorithm is proposed, which can simultaneously find the best balance ratio and the optimal feature selection. The experimental results show that our method can noticeably improve the performance of CNN, and CNN outperforms the other four commonly used machine learning models in the task of default risk prediction on four benchmark datasets.

This study uses the correlation coefficient and F-test to select the initial features of a credit evaluation system, and then a validity index for a second