A Distributionally Robust Optimisation Approach to Fair Credit Scoring

Credit scoring has been catalogued by the European Commission and the Executive Office of the US President as a high-risk classification task, a key concern being the potential harms of making loan approval decisions based on models that would be biased against certain groups. To address this concern, recent credit scoring research has considered a range of fairness-enhancing techniques put forward by the machine learning community to reduce bias and unfair treatment in classification systems. While the definition of fairness …

classification commission credit cs.cy cs.lg decisions european commission executive fair key making office optimisation president risk robust scoring us president