Probability of Default at Application Time — Home Credit (V1)

Calibrated default probability model for application-time credit risk. ROC-AUC 0.739, PR-AUC 0.219 (~2.7× base 0.081), Brier 0.069.

Objective: Reduce default rate among approved loans while maintaining healthy approval rates.

Results

At probability of default threshold cutoff 0.15:

• Approval Rate: 87.3%
• Approved Default Rate: 5.9% (↓ from 8.1%).
• ROC-AUC: 0.739
• PR-AUC: 0.219 vs base rate 0.081 (~2.7×)
• Brier: 0.069

Full analysis notebook: notebooks/Final Report.ipynb

Next (V2): profit-optimization threshold

How to Run

pip install -r requirements.txt

open notebooks/Final_Report.ipynb and run all cells

figures/ will populate with ROC/PR/Calibration/CM