Related papers: Towards Global Explanations for Credit Risk Scorin…

We propose a general model explanation system (MES) for "explaining" the output of black box classifiers. This paper describes extensions to Turner (2015), which is referred to frequently in the text. We use the motivating example of a…

Local explanation frameworks aim to rationalize particular decisions made by a black-box prediction model. Existing techniques are often restricted to a specific type of predictor or based on input saliency, which may be undesirably…

Black box systems for automated decision making, often based on machine learning over (big) data, map a user's features into a class or a score without exposing the reasons why. This is problematic not only for lack of transparency, but…

Credit assessments activities are essential for financial institutions and allow the global economy to grow. Building robust, solid and accurate models that estimate the probability of a default of a company is mandatory for credit…

A major requirement for credit scoring models is to provide a maximally accurate risk prediction. Additionally, regulators demand these models to be transparent and auditable. Thus, in credit scoring, very simple predictive models such as…

We propose a possible solution to a public challenge posed by the Fair Isaac Corporation (FICO), which is to provide an explainable model for credit risk assessment. Rather than present a black box model and explain it afterwards, we…

We develop a model to predict consumer default based on deep learning. We show that the model consistently outperforms standard credit scoring models, even though it uses the same data. Our model is interpretable and is able to provide a…

We present an approach to explain the decisions of black box models for image classification. While using the black box to label images, our explanation method exploits the latent feature space learned through an adversarial autoencoder.…

Explaining the behavior of a black box machine learning model at the instance level is useful for building trust. However, it is also important to understand how the model behaves globally. Such an understanding provides insight into both…

In the context of some machine learning applications, obtaining data instances is a relatively easy process but labeling them could become quite expensive or tedious. Such scenarios lead to datasets with few labeled instances and a larger…

Predicting default is essential for banks to ensure profitability and financial stability. While modern machine learning methods often outperform traditional regression techniques, their lack of transparency limits their use in regulated…

In this work we build a stack of machine learning models aimed at composing a state-of-the-art credit rating and default prediction system, obtaining excellent out-of-sample performances. Our approach is an excursion through the most recent…

The interpretability of model has become one of the obstacles to its wide application in the high-stake fields. The usual way to obtain interpretability is to build a black-box first and then explain it using the post-hoc methods. However,…

In this paper, we performs a credit risk analysis, on the data of past loan applicants of a company named Lending Club. The calculation required the use of exploratory data analysis and machine learning classification algorithms, namely,…

In this work, we propose a simple but effective method to interpret black-box machine learning models globally. That is, we use a compact binary tree, the interpretation tree, to explicitly represent the most important decision rules that…

Interpretability has become incredibly important as machine learning is increasingly used to inform consequential decisions. We propose to construct global explanations of complex, blackbox models in the form of a decision tree…

Lending decisions are usually made with proprietary models that provide minimally acceptable explanations to users. In a future world without such secrecy, what decision support tools would one want to use for justified lending decisions?…

The forecasting of the credit default risk has been an important research field for several decades. Traditionally, logistic regression has been widely recognized as a solution due to its accuracy and interpretability. As a recent trend,…

In the last years many accurate decision support systems have been constructed as black boxes, that is as systems that hide their internal logic to the user. This lack of explanation constitutes both a practical and an ethical issue. The…

Credit scoring models support loan approval decisions in the financial services industry. Lenders train these models on data from previously granted credit applications, where the borrowers' repayment behavior has been observed. This…