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Table 7 Results of the estimated AUC-ROC using “Give Me Some Credit” dataset

From: Measuring the model risk-adjusted performance of machine learning algorithms in credit default prediction

  Logit Lasso CART Random forest XGBoost MLP
AUC-ROC 80% 80.2% 80.4% 84.2% 85.3% 81.7%
AUC-ROC
95% interval
79.3%
80.7%
79.6%
80.8%
79.7%
81.2%
83.7%
84.8%
84.8%
85.8%
81%
82.3%
AUC-ROC (difference with logit) 0.2% 0.4% 4.2% 5.3% 1.7%