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Christophe PERIGNON (HEC-PARIS) “Discrimination in Machine-Learning Credit Scoring”

February 11, 11:30 am - 12:30 pm

FINANCIAL ECONOMETRICS SEMINAR

Time: 11:30
Date: 11th of February 2021
Place: Zoom

Christophe PERIGNON (HEC-PARIS) “Discrimination in Machine-Learning Credit Scoring”

Abstract : Artificial Intelligence (AI) can systematically treat unfavourably a group of individuals sharing a protected attribute (e.g. gender, race, religion). In credit scoring applications, this lack of fairness can severely distort access to credit and expose AI-enabled financial institutions to legal and reputational risks. In this paper, we develop a unified framework assessing the fairness of AI algorithms. First, we propose an inference tra¢ c-light test for fairness metrics. Second, we present an explainability technique, called Fairness Partial Dependence Plot, to identify the source(s) of the lack of fairness and mitigate fairness concerns. We illustrate the efficiency of our framework using a dataset of consumer loans and a series of machine-learning algorithms.

 

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
How to come?

 

Details

Date:
February 11
Time:
11:30 am - 12:30 pm
Event Categories:
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