The Fairness of Credit Scoring Models
Christophe Hurlin
- Fonction : Auteur
- PersonId : 819007
- IdHAL : christophe-hurlin
- ORCID : 0000-0002-6082-8251
- IdRef : 079115969
Résumé
In credit markets, screening algorithms discriminate between good-type and bad-type borrowers. This is their raison d’être. However, by doing so, they also often discriminate between individuals sharing a protected attribute (e.g. gender, age, race) and the rest of the population. In this paper, we show how to test (1) whether there exists a statistical significant difference in terms of rejection rates or interest rates, called lack of fairness, between protected and unprotected groups and (2) whether this difference is only due to credit worthiness. When condition (2) is not met, the screening algorithm does not comply with the fair-lending principle and can be qualified as illegal. Our framework provides guidance on how algorithmic fairness can be monitored by lenders, controlled by their regulators, and improved for the benefit of protected groups.
Domaines
Gestion et managementFormat du dépôt | Notice |
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Type de dépôt | Pré-publication, Document de travail |
Titre |
en
The Fairness of Credit Scoring Models
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Résumé |
en
In credit markets, screening algorithms discriminate between good-type and bad-type borrowers. This is their raison d’être. However, by doing so, they also often discriminate between individuals sharing a protected attribute (e.g. gender, age, race) and the rest of the population. In this paper, we show how to test (1) whether there exists a statistical significant difference in terms of rejection rates or interest rates, called lack of fairness, between protected and unprotected groups and (2) whether this difference is only due to credit worthiness. When condition (2) is not met, the screening algorithm does not comply with the fair-lending principle and can be qualified as illegal. Our framework provides guidance on how algorithmic fairness can be monitored by lenders, controlled by their regulators, and improved for the benefit of protected groups.
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Auteur(s) |
Christophe Hurlin
1
, Christophe Perignon
2
, Sébastien Saurin
1
1
UO -
Université d'Orléans
( 300297 )
- Château de la Source - Avenue du Parc Floral - BP 6749 - 45067 Orléans cedex 2
- France
2
HEC Paris -
Ecole des Hautes Etudes Commerciales
( 105633 )
- 1, rue de la Libération - 78351 Jouy en Josas cedex
- France
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Langue du document |
Anglais
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Date de production/écriture |
2021-05-19
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Domaine(s) |
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Mots-clés (JEL) |
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Référence interne |
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Collaboration/Projet |
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Voir aussi |
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Projet(s) ANR |
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arXiv Id | 2205.10200 |
DOI | 10.2139/ssrn.3785882 |
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