The Fairness of Credit Scoring Models

Christophe Hurlin, Christophe Pérignon and Sébastien Saurin
Additional contact information
Christophe Pérignon: HEC Paris
Sébastien Saurin: University of Orleans

No 1411, HEC Research Papers Series from HEC Paris

Abstract: In credit markets, screening algorithms aim to discriminate between good-type and bad-type borrowers. However, when doing so, they can also discriminate between individuals sharing a protected attribute (e.g. gender, age, racial origin) and the rest of the population. This can be unintentional and originate from the training dataset or from the model itself. We show how to formally test the algorithmic fairness of scoring models and how to identify the variables responsible for any lack of fairness. We then use these variables to optimize the fairness-performance trade-off. Our framework provides guidance on how algorithmic fairness can be monitored by lenders, controlled by their regulators, improved for the benefit of protected groups, while still maintaining a high level of forecasting accuracy.

Keywords: Fairness; Credit scoring models; Discrimination; Machine Learning; Artificial Intelligence (search for similar items in EconPapers)
JEL-codes: C10 C38 C55 G29 (search for similar items in EconPapers)
Pages: 69 pages
Date: 2021-02-18
References: Add references at CitEc
Citations:

Downloads: (external link)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3785882 Full text (text/html)

Related works:
Working Paper: The Fairness of Credit Scoring Models (2024)
Working Paper: The Fairness of Credit Scoring Models (2021)
Working Paper: The Fairness of Credit Scoring Models (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebg:heccah:1411

DOI: 10.2139/ssrn.3785882

Access Statistics for this paper

More papers in HEC Research Papers Series from HEC Paris HEC Paris, 78351 Jouy-en-Josas cedex, France. Contact information at EDIRC.
Bibliographic data for series maintained by Antoine Haldemann ().