提高自动化信贷决策的透明度和公平性:一种可解释的新型混合机器学习方法
Chioma Ngozi Nwafor1, Obumneme Nwafor2, Sanjukta Brahma3
1Glasgow School for Business and Society, Department of Finance, Accountancy and Risk, Glasgow Caledonia University, Glasgow, Scotland. Chioma.Nwafor@gcu.ac.uk.
Scientific reports
|October 25, 2024
概括
结合1DCNN和XGBoost的新混合型号实现了卓越的信用评分准确性. 这种公平和可解释的模型即使删除了年龄和性别等敏感特征,也保持了高性能.
科学领域:
- 机器学习 机器学习
- 金融技术 金融技术
- 数据科学数据科学数据科学
背景情况:
- 个人对个人 (P2P) 消费者贷款需要准确的信用风险评估.
- 现有的模型如逻辑回归,1DCNN和XGBoost在预测准确性和可解释性方面存在局限性.
- 确保信用评分的公平性和减轻偏见是一个关键的挑战.
研究的目的:
- 引入一个新的混合模型,集成1DCNN和XGBoost,以提高P2P消费者信贷评分.
- 将混合模型的性能与传统算法进行比较.
- 分析特征的重要性,评估模型的公平性和偏见.
主要方法:
- 为了创建混合型1DCNN-XGBoost模型,采用了通用堆叠方法.
- 该模型的预测准确性是基于大量的P2P消费信贷观察数据集进行评估的.
- 为了特征重要性分析和可解释性,使用了SHAP (SHapley添加式扩展) 算法.
主要成果:
- 混合型1DCNN-XGBoost模型与独立的1DCNN,XGBoost和后勤回归相比,显示出更高的分类准确性.
- 使用SHAP的特征重要性分析为信用评分预测的驱动因素提供了洞察力.
- 删除潜在的歧视性特征 (年龄,性别) 并没有显著降低混合模型的性能.
结论:
- 拟议的混合模式在P2P消费者信贷风险管理方面取得了重大进展.
- 该模型实现了高准确性,同时保持了公平性和可解释性.
- 这项研究支持开发有效和公正的信用评分系统.
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