A Novel Default Risk Prediction and Feature Importance Analysis Technique for Marketplace Lending using Machine Learning
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
Abstract
Marketplace lending has fundamentally changed the relationship between borrowers and lenders in financial markets. As with many other financial products that have emerged in recent years, internet-based investors may be inexperienced in marketplace lending, highlighting the importance of forecasting default rates and evaluating default features such as the loan amount, interest rates, and FICO score. Potential borrowers on marketplace lending platforms may already have been rejected by banks as too risky to lend to, which amplifies the problem of asymmetric information. This paper proposes a holistic data processing flow for the loan status classification of marketplace lending multivariate time series data by using the Bidirectional Long Short-Term Memory model (BiLSTM) to predict “non-default,” “distressed,” and “default” loan status, which outperforms conventional techniques. We adopt the SHapely Additive exPlanations (SHAP) and a four-step ahead model, allowing us to extract the most significant features for default risk assessment. Using our approach, lenders and regulators can identify the most relevant features to enhance the default risk assessment method over time in addition to early risk prediction.
Details
| Originalsprache | Englisch |
|---|---|
| Seiten (von - bis) | 27-62 |
| Seitenumfang | 36 |
| Fachzeitschrift | Credit and capital markets : Kredit und Kapital |
| Jahrgang | 56 |
| Ausgabenummer | 1 |
| Publikationsstatus | Veröffentlicht - 2023 |
| Peer-Review-Status | Ja |
Externe IDs
| Scopus | 85162074759 |
|---|---|
| ORCID | /0000-0002-0576-7759/work/142239315 |
Schlagworte
Forschungsprofillinien der TU Dresden
- Datenintensive Wissenschaften - Default loan prediction, LSTM/ BiLSTM; feature importance, marketplace lending, SHAP, time series classification
- Gesellschaftlicher Wandel - Default loan prediction, LSTM/ BiLSTM; feature importance, marketplace lending, SHAP, time series classification
DFG-Fachsystematik nach Fachkollegium
- Betriebswirtschaftslehre - Default loan prediction, LSTM/ BiLSTM; feature importance, marketplace lending, SHAP, time series classification
- Wirtschaftspolitik, Angewandte Volkswirtschaftslehre - Default loan prediction, LSTM/ BiLSTM; feature importance, marketplace lending, SHAP, time series classification
Fächergruppen, Lehr- und Forschungsbereiche, Fachgebiete nach Destatis
- Betriebswirtschaftslehre - Default loan prediction, LSTM/ BiLSTM; feature importance, marketplace lending, SHAP, time series classification
- Wirtschaftswissenschaften allgemein - Default loan prediction, LSTM/ BiLSTM; feature importance, marketplace lending, SHAP, time series classification
ASJC Scopus Sachgebiete
- Betriebswirtschaft, Management und Rechnungswesen (sonstige) - Default loan prediction, LSTM/ BiLSTM; feature importance, marketplace lending, SHAP, time series classification
- Volkswirtschaftslehre, Ökonometrie und Finanzen (sonstige) - Default loan prediction, LSTM/ BiLSTM; feature importance, marketplace lending, SHAP, time series classification
- Recht - Default loan prediction, LSTM/ BiLSTM; feature importance, marketplace lending, SHAP, time series classification
Schlagwörter
- Default loan prediction, LSTM/ BiLSTM; feature importance, marketplace lending, SHAP, time series classification
Bibliotheksschlagworte
- 330 Wirtschaft - Default loan prediction, LSTM/ BiLSTM; feature importance, marketplace lending, SHAP, time series classification