Exploring the Impact of Macroeconomic Factors on Credit Default Prediction Using Machine Learning and Neural Network Methods

Abstract

Macroeconomics has a profound impact on the financial condition and loan behavior of individual borrowers. This article provides a specific analysis of the macroeconomic impact based on data from P2P lending platform LendingClub. Firstly, traditional machine learning models are used to train predictive data. By comparing the predictive performance of macro sensitive and nonsensitive micro features at similar scales, it is found that macro-sensitive micro features are more suitable for model training; Further inclusion of representative macro indicators leads to an improvement in performance, confirming the direct impact of macroeconomic factors on credit default predictions. Given the limitations of traditional machine learning models in dealing with feature multicollinearity and nonlinear relationship of the data, DNN (Deep Neural Network) models are introduced to optimize the performance. The research results indicate that at the feature selection level, macro-related features have a significant impact on credit default prediction. At the level of model evaluation, neural network models have better learning and default prediction performance compared to traditional machine learning models for imbalanced and nonlinear credit datasets in the real world.