Explainable Artificial Intelligence: Interpreting Default Forecasting Models Based on Machine Learning

Explainable Artificial Intelligence: Interpreting Default Forecasting Models Based on Machine Learning

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Explainable Artificial Intelligence: Interpreting Default Forecasting Models Based on Machine Learning

Forecasting models based on machine learning (ML) algorithms have been shown to outperform traditional models in several applications. The lack of an easily interpretable functional form, however, is a major challenge for their adoption, especially when a knowledge of the estimated relationships and an explanation of individual forecasts are needed, for instance due to regulatory requirements or…

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