Credit scoring development in the light of the new Brazilian General Data Protection Law

With the advent of the new Brazilian General Data Protection Law (LGPD) which determines the right to the explanation of automated decisions, the use of non-interpretable models for human beings, known as black boxes, for the purposes of credit risk assessment may remain unfeasible. Thus, three different methods commonly applied to credit scoring – logistic regression, decision tree, and support vector machine (SVM) – were adjusted to an anonymized sample of a consumer credit portfolio from a credit union. Their results were compared and the adequacy of the explanation achieved for each classifier was assessed. Particularly for the SVM, which generated a black box model, a local interpretation method – the SHapley Additive exPlanation (SHAP) – was incorporated, enabling this machine learning classifier to fulfill the requirements imposed by the new LGPD, in equivalence to the inherent comprehensibility of the white box models.