Determinants of non-performing loans: An explainable ensemble and deep neural network approach

被引:13
作者
Nwafor, Chioma Ngozi [1 ]
Nwafor, Obumneme Zimuzor [2 ]
机构
[1] Accountancy & Risk Glasgow Caledonia Univ, Glasgow Sch Business & Soc, Dept Finance, Glasgow, Scotland
[2] Glasgow Caledonian Univ, Sch Comp Engn & Built Environm, Glasgow, Scotland
关键词
Non-performing loans; Credit risk; Ensemble methods; Explainable artificial intelligence;
D O I
10.1016/j.frl.2023.104084
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Ensemble algorithms can learn complex nonlinear relationships in large datasets resulting in higher predictive accuracies than the conventional methods. Practitioners and regulators have shown substantial hesitance in adopting them in credit risk management because of their need for explainablity. Using five ensemble learning techniques and a one-dimensional convolutional neural network, we assess indicators to predict asset quality deterioration in a consumer loan dataset using the SHAP framework to achieve explainablity of the models' ranking of features significance. We implemented a novel model-agnostic aggregate ranking method to rank the importance of the overall features from each model in predicting NPLs.
引用
收藏
页数:9
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