Clues from networks: quantifying relational risk for credit risk evaluation of SMEs

Financial Innovation

Table 2 Discrimination performance of different feature sets (BF and BF + RS)

Model	Metrics	BF	BF + RS
LR	AUC	0.715	0.726
	KS	0.408	0.419
	H	0.251	0.270
RF	AUC	0.725	0.738
	KS	0.426	0.445
	H	0.265	0.279
XGB	AUC	0.695	0.715
	KS	0.387	0.416
	H	0.219	0.252

Each metric is measured by the mean of 100 estimates obtained by repeating the outer ten-fold cross-validation procedure ten times. In Appendix 6, Tables 29 and 31 show the 95% and 90% confidence intervals of each mean, and Table 33 shows the mean of 50 estimates obtained by repeating the ten-fold cross-validation procedure five times