Risk Scoring: Estimation of Probability of Default

The probability of default is a metric that lenders use to assess risk on customers, group them into similar risk bands, and determine what interest rate to charge them.

A lender will use probability of default to calculate expected return and loss at the individual and portfolio level.

A model is trained on the "Give me some credit" dataset. "SeriousDlqin2yrs" is used as target column to predict default probability.