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Comment by gfarah | Hacker News Reader

I just finished building a credit risk ML classifier in the company I work for. The model will be used to define if we lend or not money to people/companies.

Adding profiling features does give more accurate predictions. However, I pitched not using these features as a competitive advantage to the founders and they (luckily) agreed. We won’t be using them, and we ended up (with more work of course) getting a similar performant model without them.

We can and should try to not use those kinds of features and be as fair as possible.

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Please explain. If you removed "profiling features" from your analysis, but then through other means ended up with a "similar performant model," then aren't you still profiling, just with less obvious data inputs?

If Group A is low credit risk and Group B is high credit risk, won't your new model still make it much harder for Group B to be approved? If not, it's not "similar." If you are able to dissect the Groups and pull individual high/low risks from within the groups, that would be a superior model, which is not what you claimed. So how are you not profiling, and how does it make a difference in terms of who gets approved/rejected?

We focused on behavioral data. We realized that a solid plan for the the money and how is it lay out, does correlate with a low default rate. We think this is a good way to avoid (or at least minimize) those kinds of proxies you mention.

So, people with "a solid plan for the money" (and who is the wise sage that makes THAT decision?) is just your company's replacement for directly using profiling information. You really think you've changed anything?

Please explain how making lending decisions based upon someone’s planning is somehow worse to you. Our preliminary tests show higher scores to people who by traditional means would have had a tougher time getting access to loans.

How do you measure how solid their plan for the money is?

It's illegal to use them. Although it's strictly suboptimal for the firm.

So you’ve replaced first-order proxies with higher-order proxies.

Sounds like it wouldn’t make any difference (other than PR).

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