Improving Performance Loan Fraud Model Prediction Using Mean Decrease Accuracy and Mean Decrease Gini

Abstract

The purpose of this research is to develop a fraud detection model on loan transactions at failed banks in the context of deposit and deposit guarantees mandated to the Indonesia Deposit Insurance Corporation (IDIC). The data used in this study is the data of a bank in the Jakarta area that had liquidated at the end of 2015. Meanwhile, data on loan transaction ranges ranged from 2010 to 2015. This research also focuses on improving the performance of detection models by using feature selection. With the feature selection, it expected that the impact of the reduced performance of the model exposed to high variance and high bias due to the many features used can handled better.