An Interpretable Model with Globally Consistent Explanations for Credit Risk

November 30, 2018 ยท Declared Dead ยท ๐Ÿ› arXiv.org

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Authors Chaofan Chen, Kangcheng Lin, Cynthia Rudin, Yaron Shaposhnik, Sijia Wang, Tong Wang arXiv ID 1811.12615 Category cs.LG: Machine Learning Cross-listed stat.ML Citations 101 Venue arXiv.org Last Checked 4 months ago
Abstract
We propose a possible solution to a public challenge posed by the Fair Isaac Corporation (FICO), which is to provide an explainable model for credit risk assessment. Rather than present a black box model and explain it afterwards, we provide a globally interpretable model that is as accurate as other neural networks. Our "two-layer additive risk model" is decomposable into subscales, where each node in the second layer represents a meaningful subscale, and all of the nonlinearities are transparent. We provide three types of explanations that are simpler than, but consistent with, the global model. One of these explanation methods involves solving a minimum set cover problem to find high-support globally-consistent explanations. We present a new online visualization tool to allow users to explore the global model and its explanations.
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