arXiv Open Access 2025

SHAP Stability in Credit Risk Management: A Case Study in Credit Card Default Model

Luyun Lin Yiqing Wang

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Abstrak

The increasing development in the consumer credit card market brings substantial regulatory and risk management challenges. The advanced machine learning models applications bring concerns about model transparency and fairness for both financial institutions and regulatory departments. In this study, we evaluate the consistency of one commonly used Explainable AI (XAI) technology, SHAP, for variable explanation in credit card probability of default models via a case study about credit card default prediction. The study shows the consistency is related to the variable importance level and hence provides practical recommendation for credit risk management

Topik & Kata Kunci

q-fin.RM

Penulis (2)

Luyun Lin

Yiqing Wang

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Lin, L., Wang, Y. (2025). SHAP Stability in Credit Risk Management: A Case Study in Credit Card Default Model. https://arxiv.org/abs/2508.01851

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Tahun Terbit: 2025
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓