Interpretable Credit Default Prediction with Ensemble Learning and SHAP

• URL: http://arxiv.org/abs/2505.20815v1
• Date: Tue, 27 May 2025 07:23:22 GMT
• Title: Interpretable Credit Default Prediction with Ensemble Learning and SHAP
• Authors: Shiqi Yang, Ziyi Huang, Wengran Xiao, Xinyu Shen,
• Abstract summary: This study focuses on the problem of credit default prediction, builds a modeling framework based on machine learning, and conducts comparative experiments on a variety of mainstream classification algorithms.<n>The results show that the ensemble learning method has obvious advantages in predictive performance, especially in dealing with complex nonlinear relationships between features and data imbalance problems.<n>The external credit score variable plays a dominant role in model decision making, which helps to improve the model's interpretability and practical application value.
• Score: 3.948008559977866
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: This study focuses on the problem of credit default prediction, builds a modeling framework based on machine learning, and conducts comparative experiments on a variety of mainstream classification algorithms. Through preprocessing, feature engineering, and model training of the Home Credit dataset, the performance of multiple models including logistic regression, random forest, XGBoost, LightGBM, etc. in terms of accuracy, precision, and recall is evaluated. The results show that the ensemble learning method has obvious advantages in predictive performance, especially in dealing with complex nonlinear relationships between features and data imbalance problems. It shows strong robustness. At the same time, the SHAP method is used to analyze the importance and dependency of features, and it is found that the external credit score variable plays a dominant role in model decision making, which helps to improve the model's interpretability and practical application value. The research results provide effective reference and technical support for the intelligent development of credit risk control systems.

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