G2TT
来源类型Discussion paper
规范类型论文
来源IDDP14259
DP14259 How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm
Leonardo Gambacorta; Yiping Huang; Han Qiu; Jingyi Wang
发表日期2019-12-28
出版年2019
语种英语
摘要This paper compares the predictive power of credit scoring models based on machine learning techniques with that of traditional loss and default models. Using proprietary transaction-level data from a leading fintech company in China for the period between May and September 2017, we test the performance of different models to predict losses and defaults both in normal times and when the economy is subject to a shock. In particular, we analyse the case of an (exogenous) change in regulation policy on shadow banking in China that caused lending to decline and credit conditions to deteriorate. We find that the model based on machine learning and non-traditional data is better able to predict losses and defaults than traditional models in the presence of a negative shock to the aggregate credit supply. One possible reason for this is that machine learning can better mine the non-linear relationship between variables in a period of stress. Finally, the comparative advantage of the model that uses the fintech credit scoring technique based on machine learning and big data tends to decline for borrowers with a longer credit history.
主题Financial Economics
关键词Fintech Credit scoring Non-traditional information Machine learning Credit risk
URLhttps://cepr.org/publications/dp14259
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/543148
推荐引用方式
GB/T 7714
Leonardo Gambacorta,Yiping Huang,Han Qiu,et al. DP14259 How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm. 2019.
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