NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Domonkos F. Vamossy

230 S Bouquet St
Department of Economics, University of Pittsburgh
Pittsburgh, PA 15260
United States
Tel: 2023943452

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: University of Pittsburgh

NBER Working Papers and Publications

August 2019Predicting Consumer Default: A Deep Learning Approach
with Stefania Albanesi: w26165
We develop a model to predict consumer default based on deep learning. We show that the model consistently outperforms standard credit scoring models, even though it uses the same data. Our model is interpretable and is able to provide a score to a larger class of borrowers relative to standard credit scoring models while accurately tracking variations in systemic risk. We argue that these properties can provide valuable insights for the design of policies targeted at reducing consumer default and alleviating its burden on borrowers and lenders, as well as macroprudential regulation.
 
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