Sarder Abdulla, Al Shiam, ✉. M. M. Hasan, Md Jubair Pantho, Sarmin Akter Shochona, Md Boktiar Nayeem, M. Tazwar, Hossain Choudhury, Tuan Ngoc Nguyen
{"title":"利用可解释的人工智能预测信用风险","authors":"Sarder Abdulla, Al Shiam, ✉. M. M. Hasan, Md Jubair Pantho, Sarmin Akter Shochona, Md Boktiar Nayeem, M. Tazwar, Hossain Choudhury, Tuan Ngoc Nguyen","doi":"10.32996/jbms.2024.6.2.6","DOIUrl":null,"url":null,"abstract":"Despite advancements in machine-learning prediction techniques, the majority of lenders continue to rely on conventional methods for predicting credit defaults, largely due to their lack of transparency and explainability. This reluctance to embrace newer approaches persists as there is a compelling need for credit default prediction models to be explainable. This study introduces credit default prediction models employing several tree-based ensemble methods, with the most effective model, XGBoost, being further utilized to enhance explainability. We implement SHapley Additive exPlanations (SHAP) in ML-based credit scoring models using data from the US-based P2P Lending Platform, Lending Club. Detailed discussions on the results, along with explanations using SHAP values, are also provided. The model explainability generated by Shapely values enables its applicability to a broad spectrum of industry applications.","PeriodicalId":250160,"journal":{"name":"Journal of Business and Management Studies","volume":"7 2","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Credit Risk Prediction Using Explainable AI\",\"authors\":\"Sarder Abdulla, Al Shiam, ✉. M. M. Hasan, Md Jubair Pantho, Sarmin Akter Shochona, Md Boktiar Nayeem, M. Tazwar, Hossain Choudhury, Tuan Ngoc Nguyen\",\"doi\":\"10.32996/jbms.2024.6.2.6\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Despite advancements in machine-learning prediction techniques, the majority of lenders continue to rely on conventional methods for predicting credit defaults, largely due to their lack of transparency and explainability. This reluctance to embrace newer approaches persists as there is a compelling need for credit default prediction models to be explainable. This study introduces credit default prediction models employing several tree-based ensemble methods, with the most effective model, XGBoost, being further utilized to enhance explainability. We implement SHapley Additive exPlanations (SHAP) in ML-based credit scoring models using data from the US-based P2P Lending Platform, Lending Club. Detailed discussions on the results, along with explanations using SHAP values, are also provided. The model explainability generated by Shapely values enables its applicability to a broad spectrum of industry applications.\",\"PeriodicalId\":250160,\"journal\":{\"name\":\"Journal of Business and Management Studies\",\"volume\":\"7 2\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-03-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Business and Management Studies\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.32996/jbms.2024.6.2.6\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Business and Management Studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.32996/jbms.2024.6.2.6","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
摘要
尽管机器学习预测技术在不断进步,但大多数贷款人仍然依赖传统方法来预测信贷违约,这主要是由于这些方法缺乏透明度和可解释性。由于信贷违约预测模型必须具有可解释性,因此这种不愿接受新方法的情况依然存在。本研究介绍了采用几种基于树的集合方法的信用违约预测模型,并进一步利用最有效的模型 XGBoost 来增强可解释性。我们利用美国 P2P 借贷平台 Lending Club 的数据,在基于 ML 的信用评分模型中实施了 SHapley Additive exPlanations (SHAP)。我们还对结果进行了详细讨论,并使用 SHAP 值进行了解释。Shapely 值产生的模型可解释性使其适用于广泛的行业应用。
Despite advancements in machine-learning prediction techniques, the majority of lenders continue to rely on conventional methods for predicting credit defaults, largely due to their lack of transparency and explainability. This reluctance to embrace newer approaches persists as there is a compelling need for credit default prediction models to be explainable. This study introduces credit default prediction models employing several tree-based ensemble methods, with the most effective model, XGBoost, being further utilized to enhance explainability. We implement SHapley Additive exPlanations (SHAP) in ML-based credit scoring models using data from the US-based P2P Lending Platform, Lending Club. Detailed discussions on the results, along with explanations using SHAP values, are also provided. The model explainability generated by Shapely values enables its applicability to a broad spectrum of industry applications.