Mining Cross Features for Financial Credit Risk Assessment

Abstract

For reliability, machine learning models in some areas, e.g., finance and healthcare, require to be both accurate and globally interpretable. Among them, credit risk assessment is a major application of machine learning for financial institutions to evaluate credit of users and detect default or fraud. Simple white-box models, such as Logistic Regression (LR), are usually used for credit risk assessment, but not powerful enough to model complex nonlinear interactions among features. In contrast, complex black-box models are powerful at modeling, but lack of interpretability, especially global interpretability. Fortunately, automatic feature crossing is a promising way to find cross features to make simple classifiers to be more accurate without heavy handcrafted feature engineering. However, existing automatic feature crossing methods have problems in efficiency on credit risk assessment, for corresponding data usually contains hundreds of feature fields.

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