3 papers
stat.ML2026
Conditional Weight of Evidence for Gradient-Boosted Credit Models: Estimation, Additivity and Its Relation to Adverse Action Reasons
Agus Sudjianto, Denis Burakov
Traditional weight of evidence assigns a credit characteristic a value based on its association with default across a population. Credit analysis also requires an assessment of tha…
stat.ML2025
An Information-Theoretic Framework for Credit Risk Modeling: Unifying Industry Practice with Statistical Theory for Fair and Interpretable Scorecards
Agus Sudjianto, Denis Burakov
Credit risk modeling relies extensively on Weight of Evidence (WoE) and Information Value (IV) for feature engineering, and Population Stability Index (PSI) for drift monitoring, y…
q-fin.GN2025
Geometric Dynamics of Consumer Credit Cycles: A Multivector-based Linear-Attention Framework for Explanatory Economic Analysis
Agus Sudjianto, Sandi Setiawan
This study introduces geometric algebra to decompose credit system relationships into their projective (correlation-like) and rotational (feedback-spiral) components. We represent…