Making Deep Learning-Based Predictions for Credit Scoring Explainable

Abstract

Credit scoring has become an important risk management tool for money lending institutions. Over the years, statistical and classical machine learning models have been the most researched risk management tools in credit scoring literature, and recently the focus has turned to deep learning models. This transition is due to better performances that are shown by deep learning models in different domains. Despite deep learning models' superior performances, there is still a need for explaining how these models make their predictions. The non-transparency nature of deep learning models has created a bottleneck for their use in credit scoring. Explanations of decisions are important for lending institutions since it is a requirement for automated decisions that are generated by non-transparent models to be explained. The other issue in using deep learning models, specifically 2D Convolutional Neural Networks (CNNs), in credit scoring is the need to have the data in image format. We propose an explainable deep learning model for credit scoring which can harness the performance benefits offered by deep learning and yet comply with the legislation requirements for the automated decision-making processes. The proposed method converts tabular datasets into images and thus allowing the application of 2D CNNs in credit scoring. Each pixel of the image corresponds to a feature bin of the tabular dataset. The predictions from the 2D CNNs were explained using state-of-the-art explanation methods. Furthermore, explanations were evaluated using a sanity check methodology and also performances of the explanation methods were compared quantitatively. The proposed explainable deep learning model outperforms the other credit scoring methods on publicly available credit scoring datasets.