Improving Fairness in Credit Lending Models using Subgroup Threshold Optimization

Cecilia Ying, Stephen Thomas
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Abstract

In an effort to improve the accuracy of credit lending decisions, many financial intuitions are now using predictions from machine learning models. While such predictions enjoy many advantages, recent research has shown that the predictions have the potential to be biased and unfair towards certain subgroups of the population. To combat this, several techniques have been introduced to help remove the bias and improve the overall fairness of the predictions. We introduce a new fairness technique, called \textit{Subgroup Threshold Optimizer} (\textit{STO}), that does not require any alternations to the input training data nor does it require any changes to the underlying machine learning algorithm, and thus can be used with any existing machine learning pipeline. STO works by optimizing the classification thresholds for individual subgroups in order to minimize the overall discrimination score between them. Our experiments on a real-world credit lending dataset show that STO can reduce gender discrimination by over 90\%.
利用分组阈值优化提高信用借贷模型的公平性
为了提高信贷借贷决策的准确性,许多金融直观机构现在都在使用机器学习模型进行预测。虽然这种预测有许多优点,但最近的研究表明,预测有可能存在偏差,而且对人口中的某些子群体不公平。为了解决这个问题,人们引入了几种技术来帮助消除偏见,提高预测的整体公平性。我们引入了一种名为 \textit{SubgroupThreshold Optimizer} (\textit{STO})的新公平性技术,它不需要对输入训练数据进行任何修改,也不需要对底层机器学习算法进行任何更改,因此可以与任何现有的机器学习管道配合使用。STO 的工作原理是优化单个子群的分类阈值,以最小化它们之间的总体区分度。我们在真实世界信用借贷数据集上的实验表明,STO 可以将性别歧视降低 90% 以上。
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