A Credit Risk Model with Small Sample Data Based on G-XGBoost

Abstract

Currently existing credit risk models, e.g., Scoring Card and Extreme Gradient Boosting (XGBoost), usually have requirements for the capacity of modeling samples. The small sample size may result in the adverse outcomes for the trained models which may neither achieve the expected accuracy nor distinguish risks well. On the other hand, data acquisition can be difficult and restricted due to data protection regulations. In view of the above dilemma, this paper applies Generative Adversarial Nets (GAN) to the construction of small and micro enterprises (SMEs) credit risk model, and proposes a novel training method, namely G-XGBoost, based on the XGBoost model. A few batches of real data are selected to train GAN. When the generative network reaches Nash equilibrium, the network is used to generate pseudo data with the same distribution. The pseudo data is then combined with real data to form an amplified sample set. The amplified sample set is used to train XGBoost for credit risk prediction. The feasibility and advantages of the G-XGBoost model are demonstrated by comparing with the XGBoost model.

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