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- W3201341859 abstract "Booming online consumer lending encounters high credit risk and thus needs well-designed credit scoring models. As a supplementary data source, multilevel macroeconomic variables (MVs), which means mixed regions, data frequency, and lags of MVs, are combined with application data for credit scoring. Moreover, we propose a Bayesian MV selection and lag optimization method to handle the highly correlated MVs and capture flexible lag effects. A structural model for consumer default behavior is proposed to analyze the potential role of multilevel MVs in theoretically predicting default loans. Validated on a real-world dataset from an anonymous Chinese online consumer lending platform, the empirical results confirm that multilevel MVs are significant determinants of consumer credit risk. The comparison of classification performance further implies the superiority of incorporating multilevel MVs and the proposed MV selection and lag optimization method relative to benchmarks. Gradient boosting decision tree-based approaches provide significantly better performance than industry benchmarks while maintaining interpretability via Shapley additive explanations values." @default.
- W3201341859 created "2021-09-27" @default.
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- W3201341859 creator A5053890256 @default.
- W3201341859 creator A5057946457 @default.
- W3201341859 date "2021-09-01" @default.
- W3201341859 modified "2023-09-30" @default.
- W3201341859 title "Incorporating multilevel macroeconomic variables into credit scoring for online consumer lending" @default.
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- W3201341859 doi "https://doi.org/10.1016/j.elerap.2021.101095" @default.
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