A deep metric learning approach for weakly supervised loan default prediction1

Abstract

To deal with the systematic risk of financial institutions and the rapid increasing of loan applications, it is becoming extremely important to automatically predict the default probability of a loan. However, this task is non-trivial due to the insufficient default samples, hard decision boundaries and numerous heterogeneous features. To the best of our knowledge, existing related researches fail in handling these three difficulties simultaneously. In this paper, we propose a weakly supervised loan default prediction model WEAKLOAN that systematically solves all these challenges based on deep metric learning. WEAKLOAN is composed of three key modules which are used for encoding loan features, learning evaluation metrics and calculating default risk scores. By doing so, WEAKLOAN can not only extract the features of a loan itself, but also model the hidden relationships in loan pairs. Extensive experiments on real-life datasets show that WEAKLOAN significantly outperforms all compared baselines even though the default loans for training are limited.