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Semi-supervised adapted HMMs for P2P credit scoring systems with reject inference.
Monir El Annas1, Badreddine Benyacoub1, Mohamed Ouzineb1
1Institut National de Statistique et d'Economie Appliquée, Rabat, Morocco.
This study introduces a novel semi-supervised hidden Markov model (SSHMM) for reject inference in credit scoring. The SSHMM method effectively addresses selection bias in peer-to-peer lending models, improving accuracy and reliability.
Area of Science:
- Credit Risk Assessment
- Machine Learning Applications
- Financial Data Science
Background:
- Current credit scoring models often suffer from selection bias due to excluding rejected applicants.
- This bias impacts the statistical and economic validity of credit scoring, particularly in high-rejection-rate environments like peer-to-peer lending.
- Reject inference is crucial for developing more representative and accurate credit scoring models.
Purpose of the Study:
- To propose and evaluate a novel semi-supervised learning framework for reject inference.
- To address the selection bias inherent in traditional credit scoring models.
- To enhance the performance and reliability of credit scoring models, especially for peer-to-peer lending platforms.
Main Methods:
- Development of a semi-supervised hidden Markov model (SSHMM) framework.
- Application of the SSHMM to infer information from rejected credit applicants.
- Utilizing real-world data from the Lending Club peer-to-peer lending platform for empirical validation.
Main Results:
- The proposed SSHMM method demonstrates superior performance compared to existing reject inference approaches.
- The model exhibits significant stability and adaptability across different datasets and conditions.
- Empirical results confirm the effectiveness of SSHMM in mitigating selection bias.
Conclusions:
- The SSHMM framework offers a robust and effective solution for reject inference in credit scoring.
- This novel approach improves the accuracy and fairness of loan approval processes.
- The study highlights the potential of semi-supervised learning for addressing data limitations in financial modeling.

