Anna Kozak

Hubert Ruczyński, Anna Kozak

The majority of automated machine learning (AutoML) solutions are developed in Python, however a large percentage of data scientists are associated with the R language. Unfortunately, there are limited R solutions available. Moreover high entry level means they are not accessible to everyone, due to required knowledge about machine learning (ML). To fill this gap, we present the forester package, which offers ease of use regardless of the user's proficiency in the area of machine learning. The forester is an open-source AutoML package implemented in R designed for training high-quality tree-based models on tabular data. It fully supports binary and multiclass classification, regression, and partially survival analysis tasks. With just a few functions, the user is capable of detecting issues regarding the data quality, preparing the preprocessing pipeline, training and tuning tree-based models, evaluating the results, and creating the report for further analysis.

Przemysław Biecek, Marcin Chlebus, Janusz Gajda et al.

Rapid development of advanced modelling techniques gives an opportunity to develop tools that are more and more accurate. However as usually, everything comes with a price and in this case, the price to pay is to loose interpretability of a model while gaining on its accuracy and precision. For managers to control and effectively manage credit risk and for regulators to be convinced with model quality the price to pay is too high. In this paper, we show how to take credit scoring analytics in to the next level, namely we present comparison of various predictive models (logistic regression, logistic regression with weight of evidence transformations and modern artificial intelligence algorithms) and show that advanced tree based models give best results in prediction of client default. What is even more important and valuable we also show how to boost advanced models using techniques which allow to interpret them and made them more accessible for credit risk practitioners, resolving the crucial obstacle in widespread deployment of more complex, 'black box' models like random forests, gradient boosted or extreme gradient boosted trees. All this will be shown on the large dataset obtained from the Polish Credit Bureau to which all the banks and most of the lending companies in the country do report the credit files. In this paper the data from lending companies were used. The paper then compares state of the art best practices in credit risk modelling with new advanced modern statistical tools boosted by the latest developments in the field of interpretability and explainability of artificial intelligence algorithms. We believe that this is a valuable contribution when it comes to presentation of different modelling tools but what is even more important it is showing which methods might be used to get insight and understanding of AI methods in credit risk context.