arXiv q-fin· Agus Sudjianto, Denis Burakov·· 13 hr agoAI Score57
Conditional Weight of Evidence for Gradient Boosting Credit Models: Estimation Methods, Additivity, and Their Relationship with Adverse Behavior Causes
Conditional Weight of Evidence for Gradient-Boosted Credit Models: Estimation, Additivity and Its Relation to Adverse Action Reasons
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This arXiv paper proposes a conditional weight of evidence method to measure the marginal impact of a single credit feature on the log odds of default, given the rest of an applicant's credit information. The same feature value can yield different evaluations for applicants with different credit backgrounds.
Source:arXiv q-fin · arxiv.org
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