Gateway to Think Tanks
来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP14259 |
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 |
URL | https://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. |
条目包含的文件 | 条目无相关文件。 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。