An Information-Theoretic Framework for Credit Risk Modeling: Unifying Industry Practice with Statistical Theory for Fair and Interpretable Scorecards
arXiv:2509.09855v1 Announce Type: new Abstract: Credit risk modeling relies extensively on Weight of Evidence (WoE) and Information Value (IV) for feature engineering, and Population Stability Index (PSI) for drift monitoring, yet their theoretical foundations remain disconnected. We establish a unified…
