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stat.ML2026
EventGPT: Next-Event Pretraining on Banking Customer Histories
Denis Burakov
A model pretrained to predict a customer's next event can estimate the probability of future events without training on their labels and provide a reusable representation for super…
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…