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SHAP and LIME: An Evaluation of Discriminative Power in Credit Risk
Open accessAbstract
In credit risk estimation, the most important element is obtaining a probability of default as close as possible to the effective risk. This effort quickly prompted new, powerful algorithms that reach a far higher accuracy, but at the cost of losing intelligibility, such as Gradient Boosting or ensemble methods. These models are usually referred to as “black-boxes”, implying that you know the inputs and the output, but there is little way to understand what is going on under the hood. As a response to that, we have seen several different Explainable AI models flourish in recent years, with the aim of letting the user see why the black-box gave a certain output. In this context, we evaluate two very popular eXplainable AI (XAI) models in their ability to discriminate observations into groups, through the application of both unsupervised and predictive modeling to the weights these XAI models assign to features locally. The evaluation is carried out on real Small and Medium Enterprises data, obtained from official italian repositories, and may form the basis for the employment of such XAI models for post-processing features extraction.
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Metadata
- Authors
- Gramegna, A., & Giudici, P.
- Affiliations
- University of Pavia (IT)
- Corresponding author
- Gramegna, Alex
- ORCID
- Giudici, Paolo
- Venue
- Frontiers in Artificial Intelligence
- Publisher
- Frontiers Media SA
- Published
- 2021-09-17
- Volume
- 4
- Pages
- 752558-752558
- ISSN
- 2624-8212 (ISSN-L)
- PMC
- PMC8484963
- OpenAlex
- W3200880768
- Cited by
- 306
- References
- 19
- Citations by year
- 2026: 57 · 2025: 87 · 2024: 89 · 2023: 46 · 2022: 26 · 2021: 1
- FWCI
- 14.31
- Type
- journal article
- Language
- en
- Open access
- gold
- doi.org
- Licence
- Locations
- Frontiers in Artificial Intelligence (publishedVersion, cc-by)
- Europe PMC (PubMed Central) (publishedVersion, other-oa)
- PubMed Central (publishedVersion, cc-by)
- PubMed (publishedVersion)
- DOAJ (DOAJ: Directory of Open Access Journals) (submittedVersion, cc-by-sa)
- Topics
- Physical Sciences › Computer Science › Artificial Intelligence › Explainable Artificial Intelligence (XAI)
- Social Sciences › Business, Management and Accounting › Accounting › Financial Distress and Bankruptcy Prediction
- Physical Sciences › Computer Science › Artificial Intelligence › Imbalanced Data Classification Techniques
- Keywords
- SHAP, lime, explainable AI, credit risk, probability of default, model interpretability, black-box models, feature attribution, small and medium-sized enterprises, gradient boosting, ensemble methods
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
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