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提高自动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。

Enhancing transparency and fairness in automated credit decisions: an explainable novel hybrid machine learning approach.

作者信息

Nwafor Chioma Ngozi, Nwafor Obumneme, Brahma Sanjukta

机构信息

Glasgow School for Business and Society, Department of Finance, Accountancy and Risk, Glasgow Caledonia University, Glasgow, Scotland.

School of Computing, Engineering and Built Environment, Glasgow Caledonian University, Glasgow, Scotland.

出版信息

Sci Rep. 2024 Oct 24;14(1):25174. doi: 10.1038/s41598-024-75026-8.

Abstract

This paper uses a generalised stacking method to introduce a novel hybrid model that combines a one-dimensional convolutional neural network 1DCNN with extreme gradient boosting XGBoost. We compared the predictive accuracies of the proposed hybrid architecture with three conventional algorithms-1DCNN, XGBoost and logistic regression (LR) using a dataset of over twenty thousand peer-to-peer (P2P) consumer credit observations. By leveraging the SHAP algorithm, the research provides a detailed analysis of feature importance, contributing to the model's predictions and offering insights into the overall and individual significance of different features. The findings demonstrate that the hybrid model outperforms the LR, XGBoost and 1DCNN models in terms of classification accuracy. Furthermore, the research addresses concern regarding fairness and bias by showing that removing potentially discriminatory features, such as age and gender, does not significantly impact the hybrid model's classification capabilities. This suggests that fair and unbiased credit scoring models can achieve high effectiveness levels without compromising accuracy. This paper makes significant contributions to academic research and practical applications in credit risk management by presenting a hybrid model that offers superior classification accuracy and promotes interpretability using the model agnostic SHAP framework.

摘要

本文采用广义堆叠方法引入了一种新型混合模型,该模型将一维卷积神经网络(1DCNN)与极端梯度提升(XGBoost)相结合。我们使用一个包含两万多个点对点(P2P)消费者信贷观测值的数据集,将所提出的混合架构的预测准确性与三种传统算法——1DCNN、XGBoost和逻辑回归(LR)进行了比较。通过利用SHAP算法,该研究对特征重要性进行了详细分析,有助于模型的预测,并深入了解不同特征的整体和个体重要性。研究结果表明,混合模型在分类准确性方面优于LR、XGBoost和1DCNN模型。此外,该研究通过表明去除潜在的歧视性特征(如年龄和性别)不会显著影响混合模型的分类能力,解决了对公平性和偏差的担忧。这表明公平且无偏差的信用评分模型可以在不影响准确性的情况下实现较高的有效性水平。本文通过提出一种混合模型,该模型具有卓越的分类准确性,并使用与模型无关的SHAP框架促进可解释性,为信用风险管理的学术研究和实际应用做出了重大贡献。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/eed5/11502870/222ecbf72c12/41598_2024_75026_Fig1_HTML.jpg

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