Transforming Credit Risk Analysis: A Time-Series-Driven ResE-BiLSTM Framework for Post-Loan Default Detection
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| Main Authors: | , , , , , , , |
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866912514987524096 |
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| author | Yang, Yue Lin, Yuxiang Zhang, Ying Su, Zihan Goh, Chang Chuan Fang, Tangtangfang Bellotti, Anthony Graham Lee, Boon Giin |
| author_facet | Yang, Yue Lin, Yuxiang Zhang, Ying Su, Zihan Goh, Chang Chuan Fang, Tangtangfang Bellotti, Anthony Graham Lee, Boon Giin |
| contents | Prediction of post-loan default is an important task in credit risk management, and can be addressed by detection of financial anomalies using machine learning. This study introduces a ResE-BiLSTM model, using a sliding window technique, and is evaluated on 44 independent cohorts from the extensive Freddie Mac US mortgage dataset, to improve prediction performance. The ResE-BiLSTM is compared with five baseline models: Long Short-Term Memory (LSTM), BiLSTM, Gated Recurrent Units (GRU), Convolutional Neural Networks (CNN), and Recurrent Neural Networks (RNN), across multiple metrics, including Accuracy, Precision, Recall, F1, and AUC. An ablation study was conducted to evaluate the contribution of individual components in the ResE-BiLSTM architecture. Additionally, SHAP analysis was employed to interpret the underlying features the model relied upon for its predictions. Experimental results demonstrate that ResE-BiLSTM achieves superior predictive performance compared to baseline models, underscoring its practical value and applicability in real-world scenarios. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_00415 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Transforming Credit Risk Analysis: A Time-Series-Driven ResE-BiLSTM Framework for Post-Loan Default Detection Yang, Yue Lin, Yuxiang Zhang, Ying Su, Zihan Goh, Chang Chuan Fang, Tangtangfang Bellotti, Anthony Graham Lee, Boon Giin Machine Learning Prediction of post-loan default is an important task in credit risk management, and can be addressed by detection of financial anomalies using machine learning. This study introduces a ResE-BiLSTM model, using a sliding window technique, and is evaluated on 44 independent cohorts from the extensive Freddie Mac US mortgage dataset, to improve prediction performance. The ResE-BiLSTM is compared with five baseline models: Long Short-Term Memory (LSTM), BiLSTM, Gated Recurrent Units (GRU), Convolutional Neural Networks (CNN), and Recurrent Neural Networks (RNN), across multiple metrics, including Accuracy, Precision, Recall, F1, and AUC. An ablation study was conducted to evaluate the contribution of individual components in the ResE-BiLSTM architecture. Additionally, SHAP analysis was employed to interpret the underlying features the model relied upon for its predictions. Experimental results demonstrate that ResE-BiLSTM achieves superior predictive performance compared to baseline models, underscoring its practical value and applicability in real-world scenarios. |
| title | Transforming Credit Risk Analysis: A Time-Series-Driven ResE-BiLSTM Framework for Post-Loan Default Detection |
| topic | Machine Learning |
| url | https://arxiv.org/abs/2508.00415 |