Credit risk
Papers
Learned Monotone Recurrent Features in Governed Credit Scoring
Tan et al.
Under strict monotonicity constraints, macro-conditioned recurrent features are the one change that improves crisis cohorts.
In the Daily Brief of 11 October 2026
Credit scorecards are often required to be monotone in their inputs for governance reasons. This paper adds learned monotone recurrent features to such constrained scorecards.
The features help most when governance is strictest. Conditioning the recurrence on macroeconomic variables is the only change that improves performance on crisis cohorts, by about 0.006 to 0.021 in area under the curve on Freddie Mac and Fannie Mae data.