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Assessment of creditworthiness models privacy-preserving training with synthetic data

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Listed:
  • Ricardo Mu~noz-Cancino
  • Cristi'an Bravo
  • Sebasti'an A. R'ios
  • Manuel Gra~na

Abstract

Credit scoring models are the primary instrument used by financial institutions to manage credit risk. The scarcity of research on behavioral scoring is due to the difficult data access. Financial institutions have to maintain the privacy and security of borrowers' information refrain them from collaborating in research initiatives. In this work, we present a methodology that allows us to evaluate the performance of models trained with synthetic data when they are applied to real-world data. Our results show that synthetic data quality is increasingly poor when the number of attributes increases. However, creditworthiness assessment models trained with synthetic data show a reduction of 3\% of AUC and 6\% of KS when compared with models trained with real data. These results have a significant impact since they encourage credit risk investigation from synthetic data, making it possible to maintain borrowers' privacy and to address problems that until now have been hampered by the availability of information.

Suggested Citation

  • Ricardo Mu~noz-Cancino & Cristi'an Bravo & Sebasti'an A. R'ios & Manuel Gra~na, 2022. "Assessment of creditworthiness models privacy-preserving training with synthetic data," Papers 2301.01212, arXiv.org.
    • Handle: RePEc:arx:papers:2301.01212
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    1. Kwanda Sydwell Ngwenduna & Rendani Mbuvha, 2021. "Alleviating Class Imbalance in Actuarial Applications Using Generative Adversarial Networks," Risks, MDPI, vol. 9(3), pages 1-33, March.
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