English

Predicting Mortgage Default with Machine Learning: AutoML, Class Imbalance, and Leakage Control

Machine Learning 2026-02-03 v1

Abstract

Mortgage default prediction is a core task in financial risk management, and machine learning models are increasingly used to estimate default probabilities and provide interpretable signals for downstream decisions. In real-world mortgage datasets, however, three factors frequently undermine evaluation validity and deployment reliability: ambiguity in default labeling, severe class imbalance, and information leakage arising from temporal structure and post-event variables. We compare multiple machine learning approaches for mortgage default prediction using a real-world loan-level dataset, with emphasis on leakage control and imbalance handling. We employ leakage-aware feature selection, a strict temporal split that constrains both origination and reporting periods, and controlled downsampling of the majority class. Across multiple positive-to-negative ratios, performance remains stable, and an AutoML approach (AutoGluon) achieves the strongest AUROC among the models evaluated. An extended and pedagogical version of this work will appear as a book chapter.

Keywords

Cite

@article{arxiv.2602.00120,
  title  = {Predicting Mortgage Default with Machine Learning: AutoML, Class Imbalance, and Leakage Control},
  author = {Xianghong Hu and Tianning Xu and Ying Chen and Shuai Wang},
  journal= {arXiv preprint arXiv:2602.00120},
  year   = {2026}
}

Comments

12 pages, 4 figures. An extended and pedagogical version will appear as a book chapter

R2 v1 2026-07-01T09:28:27.981Z