Interpretable hybrid credit scoring for thin-file and underbanked populations

Abstract

We extend a residual-learning hybrid credit scoring framework (logistic regression scorecard plus a gradient-boosting correction on its residuals, decomposed at each prediction into an interpretability ratio $\rho (x)$ that measures the share attributable to the linear branch) along three axes: an East African empirical instantiation on the Zindi Financial Inclusion in Africa data (Kenya, Rwanda, Tanzania, Uganda); a fairness audit at the granularity of the framework's three interpretability regions; and a thin-file segmentation analysis. On the Taiwan Credit Default benchmark retained for continuity, the calibrated hybrid attains AUC $=0.776$ ($\Delta \mathrm{AUC}=+0.057$ vs.\ standalone logistic regression, $+0.001$ vs.\ standalone XGBoost), reduces Brier Score by 23\%, and concentrates the highest-default-rate borrowers (69.5\%) in the fully interpretable region. On Zindi, the calibrated hybrid attains AUC $=0.869$ ($\Delta \mathrm{AUC}=+0.015$ vs.\ LR, $p<0.001$; $-0.004$ vs.\ XGBoost), cuts Brier from $0.158$ to $0.085$ (a 46\% reduction), and replicates the regional routing pattern. The fairness audit detects severe routing into the opaque ML-driven region along socioeconomic axes: rural respondents by 18 percentage points relative to urban, primary-or-less-educated by 32 points relative to secondary-and-above, and Ugandan respondents by 22 points relative to Kenyan, while gender shows essentially no routing disparity. The audit pipeline surfaces subgroup-routing violations that aggregate fairness metrics miss, in a form directly usable by African central-bank supervisors of digital credit.