An Interpretable Model with Globally Consistent Explanations for Credit Risk
This addresses the need for interpretable models in credit risk assessment, offering a solution to a public challenge, but it appears incremental as it builds on existing interpretability methods.
The authors tackled the problem of providing an explainable model for credit risk assessment by proposing a globally interpretable two-layer additive risk model that is as accurate as neural networks, with explanations derived from solving a minimum set cover problem and an online visualization tool.
We propose a possible solution to a public challenge posed by the Fair Isaac Corporation (FICO), which is to provide an explainable model for credit risk assessment. Rather than present a black box model and explain it afterwards, we provide a globally interpretable model that is as accurate as other neural networks. Our "two-layer additive risk model" is decomposable into subscales, where each node in the second layer represents a meaningful subscale, and all of the nonlinearities are transparent. We provide three types of explanations that are simpler than, but consistent with, the global model. One of these explanation methods involves solving a minimum set cover problem to find high-support globally-consistent explanations. We present a new online visualization tool to allow users to explore the global model and its explanations.