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Measuring the Driving Forces of Predictive Performance: Application to Credit Scoring

Hué Sullivan · Hurlin Christophe · Pérignon Christophe · Saurin Sébastien首次提交 2022-12-12 · 修订 2025-01-21 · v4arXiv预印本

预测表现驱动因素的度量：信用评分应用AI 解读

As they play an increasingly important role in determining access to credit, credit scoring models are under growing scrutiny from banking supervisors and internal model validators. These authorities need to monitor the model performance and identify its key drivers. To facilitate this, we introduce the XPER methodology to decompose a performance metric (e.g., AUC, $R^2$ ) into specific contributions associated with the various features of a forecasting model. XPER is…As they play an increasingly important role in determining access to credit, credit scoring models are under growing scrutiny from banking supervisors and internal model validators. These authorities need to monitor the model performance and identify its key drivers. To facilitate this, we introduce the XPER methodology to decompose a performance metric (e.g., AUC, $R^2$) into specific contributions associated with the various features of a forecasting model. XPER is…

预测与混频

被引：暂无数据

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