Performance Evaluation of Machine Learning and Deep Learning Models for Credit Risk Prediction

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Authors: Irvine Mapfumo, Thokozani C. Shongwe
Cited by: 3
References: 48

Abstract

Credit risk prediction is essential for financial institutions to effectively assess the likelihood of borrower defaults and manage associated risks. This study presents a comparative analysis of deep learning architectures and traditional machine learning models on imbalanced credit risk datasets. To address class imbalance, we employ three resampling techniques: Synthetic Minority Over-sampling Technique (SMOTE), Edited Nearest Neighbors (ENN), and the hybrid SMOTE-ENN. We evaluate the performance of various models, including multilayer perceptron (MLP), convolutional neural network (CNN), long short-term memory (LSTM), gated recurrent unit (GRU), logistic regression, decision tree, support vector machine (SVM), random forest, adaptive boosting, and extreme gradient boosting. The analysis reveals that SMOTE-ENN combined with MLP achieves the highest F1-score of 0.928 (accuracy 95.4%) on the German dataset, while SMOTE-ENN with random forest attains the best F1-score of 0.789 (accuracy 82.1%) on the Taiwanese dataset. SHapley Additive exPlanations (SHAP) are employed to enhance model interpretability, identifying key drivers of credit default. These findings provide actionable guidance for developing transparent, high-performing, and robust credit risk assessment systems.

Fields of Study & Subjects

Financial Distress and Bankruptcy Prediction Credit Risk and Financial Regulations Imbalanced Data Classification Techniques

Publication details

Journal / source
Journal of risk and financial management
Publisher
MDPI AG
Volume
19
Issue
3
Pages
210–210
Publication date
11 March 2026
Language
EN