Impact of Unusual Features in Credit Scoring Problem

  • Luiz Felipe Vercosa Universidade de Pernambuco
  • Rodrigo Lira Instituto Federal de Pernambuco
  • Rodrigo Monteiro Universidade Federal de Pernambuco
  • Kleber Silva Universidade de Pernambuco
  • Jailson Magalhaes Universidade de Pernambuco
  • Alexandre Maciel Universidade de Pernambuco
  • Byron L. D. Bezerra Universidade de Pernambuco
  • Carmelo Bastos-Filho Universidade de Pernambuco

Resumo


Standard features used for Credit Scoring includes mainly registration and financial data from customers. However, exploring new features is of great interest for financial companies, since slight improvements in the person score directly impact the company revenue. In this work, we categorize features from open credit scoring datasets and compare them with the features found in a real company dataset. The company dataset contains unusual feature groups such as historical, geolocation, web behavior, and demographic data. We performed bivariate tests using the Kolmogorov-Smirnov metric and features to assess the performance of the particular feature groups. We also generated a score of good payer by using AdaBoost, Multilayer Perceptron, and XGBoost algorithms. Then, we analyzed the results with different metrics and compared them with the real company results. Our main finding was that these features added a small improvement to current datasets. We also identified the most promising feature groups and noticed that the tuned XGBoost performed better than the company solution in three out of four deployed metrics.

Palavras-chave: credit scoring, feature groups, novel dataset, web crawling

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Publicado
20/10/2020
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VERCOSA, Luiz Felipe; LIRA, Rodrigo; MONTEIRO, Rodrigo; SILVA, Kleber; MAGALHAES, Jailson; MACIEL, Alexandre; BEZERRA, Byron L. D.; BASTOS-FILHO, Carmelo. Impact of Unusual Features in Credit Scoring Problem. In: SYMPOSIUM ON KNOWLEDGE DISCOVERY, MINING AND LEARNING (KDMILE), 8. , 2020, Evento Online. Anais [...]. Porto Alegre: Sociedade Brasileira de Computação, 2020 . p. 81-88. ISSN 2763-8944. DOI: https://doi.org/10.5753/kdmile.2020.11962.