In this paper we study the performance of several machine learning (ML) models for credit default prediction. We do so by using a unique and anonymized database from a major Spanish bank. We compare the statistical performance of a simple and traditionally used model like the Logistic Regression...

Implementing new machine learning (ML) algorithms for credit default prediction is associated with better predictive performance; however, it also generates new model risks, particularly concerning the supervisory validation process. Recent industry surveys often mention that uncertainty about how...