A multi-objective approach for profit-driven feature selection in credit scoring

In credit scoring, feature selection aims at removing irrelevant data to improve the performance of the scorecard and its interpretability. Standard techniques treat feature selection as a single-objective task and rely on statistical criteria such as correlation. Recent studies suggest that using profit-based indicators may improve the quality of scoring models for businesses. We extend the use of profit measures to feature selection and develop a multi-objective wrapper framework based on the NSGA-II genetic algorithm with two fitness functions: the Expected Maximum Profit (EMP) and the number of features. Experiments on multiple credit scoring data sets demonstrate that the proposed approach develops scorecards that can yield a higher expected profit using fewer features than conventional feature selection strategies. •A profit-driven feature selection framework for credit scoring is introduced.•The suggested framework is based on a multi-objective algorithm NSGA-II.•The algorithm optimizes profitability and comprehensibility of a scoring model.•Experiments on ten data sets demonstrate good performance of the proposed approach.