In the context of credit scoring, ensemble methods based on decision trees, suchas the random forest method, provide better classi cation performance than standardlogistic regression models. However, logistic regression remains the benchmark in thecredit risk industry mainly because the lack of...

We introduce the XPER (eXplainable PERformance) methodology to measure the specific contribution of the input features to the predictive or economic performance of a model. Our methodology offers several advantages. First, it is both model-agnostic and performance metric-agnostic. Second, XPER...