Applied Data Science for Leasing Score Prediction

Giuseppe Cianci, Roberto Goglia, Riccardo Guidotti, Matteo Kapllaj, Roberto Mosca, Andrea Pugnana, Franco Ricotti, Salvatore Ruggieri

Abstract: We describe the design, the architecture, and the evaluation of the Leasing Score Prediction (LSP) system - a credit scoring and credit rating system for the leasing sector deployed at the Italian association of leasing companies. Due to its challenging objectives, the design and complexity of the LSP system represent a unique contribution to the best practices in the field. We cover requirements by managers, users, and regulations about rigorous backtesting, statistical validation, calibration, explainability, robustness and uncertainty self-assessment. LSP relies on a machine learning model trained on a mixture of data distributions contributed by many associated leasing companies. We describe the technical solutions adopted and report on their performance evaluation, including the management of the data shifts due to the COVID-19 pandemic.