Improving Fairness in Credit Lending Models using Subgroup Threshold Optimization

Abstract

In an effort to improve the accuracy of credit lending decisions, many financial intuitions are now using predictions from machine learning models. While such predictions enjoy many advantages, recent research has shown that the predictions have the potential to be biased and unfair towards certain subgroups of the population. To combat this, several techniques have been introduced to help remove the bias and improve the overall fairness of the predictions. We introduce a new fairness technique, called \textit{Subgroup Threshold Optimizer} (\textit{STO}), that does not require any alternations to the input training data nor does it require any changes to the underlying machine learning algorithm, and thus can be used with any existing machine learning pipeline. STO works by optimizing the classification thresholds for individual subgroups in order to minimize the overall discrimination score between them. Our experiments on a real-world credit lending dataset show that STO can reduce gender discrimination by over 90\%.