A Method for Evaluating the Interpretability of Machine Learning Models in Predicting Bond Default Risk Based on LIME and SHAP
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arXiv
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2025
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| _version_ | 1866916633009717248 |
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| author | Zhang, Yan Chen, Lin Tian, Yixiang |
| author_facet | Zhang, Yan Chen, Lin Tian, Yixiang |
| contents | Interpretability analysis methods for artificial intelligence models, such as LIME and SHAP, are widely used, though they primarily serve as post-model for analyzing model outputs. While it is commonly believed that the transparency and interpretability of AI models diminish as their complexity increases, currently there is no standardized method for assessing the inherent interpretability of the models themselves. This paper uses bond market default prediction as a case study, applying commonly used machine learning algorithms within AI models. First, the classification performance of these algorithms in default prediction is evaluated. Then, leveraging LIME and SHAP to assess the contribution of sample features to prediction outcomes, the paper proposes a novel method for evaluating the interpretability of the models themselves. The results of this analysis are consistent with the intuitive understanding and logical expectations regarding the interpretability of these models. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2502_19615 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A Method for Evaluating the Interpretability of Machine Learning Models in Predicting Bond Default Risk Based on LIME and SHAP Zhang, Yan Chen, Lin Tian, Yixiang General Finance Machine Learning F.2.2 Interpretability analysis methods for artificial intelligence models, such as LIME and SHAP, are widely used, though they primarily serve as post-model for analyzing model outputs. While it is commonly believed that the transparency and interpretability of AI models diminish as their complexity increases, currently there is no standardized method for assessing the inherent interpretability of the models themselves. This paper uses bond market default prediction as a case study, applying commonly used machine learning algorithms within AI models. First, the classification performance of these algorithms in default prediction is evaluated. Then, leveraging LIME and SHAP to assess the contribution of sample features to prediction outcomes, the paper proposes a novel method for evaluating the interpretability of the models themselves. The results of this analysis are consistent with the intuitive understanding and logical expectations regarding the interpretability of these models. |
| title | A Method for Evaluating the Interpretability of Machine Learning Models in Predicting Bond Default Risk Based on LIME and SHAP |
| topic | General Finance Machine Learning F.2.2 |
| url | https://arxiv.org/abs/2502.19615 |