A Framework for Interpreting Machine Learning Models in Bond Default Risk Prediction Using LIME and SHAP

Interpretability analysis methods, such as LIME and SHAP, are widely employed to explain the predictions of artificial intelligence models; however, they primarily function as post hoc tools and do not directly quantify the intrinsic interpretability of the models. Although it is commonly assumed that model transparency decreases with increasing complexity, there is currently no standardized framework for evaluating interpretability as an inherent property of AI models. In this study, we examine the prediction of bond defaults using several widely used machine learning algorithms. The classification performance of each algorithm is first evaluated, followed by the application of LIME and SHAP to assess the influence of input features on model outputs. Based on these analyses, we propose a novel approach for quantifying intrinsic model interpretability. The results align with theoretical expectations and provide insights into the trade-off between model complexity and interpretability.