Learning data representations that reflect the customers' creditworthiness can improve marketing campaigns, customer relationship management, data and process management or the credit risk assessment in retail banks. In this research, we adopt the Variational Autoencoder (VAE), which has the ability to learn latent representations that contain useful information. We show that it is possible to steer the latent representations in the latent space of the VAE using the Weight of Evidence and forming a specific grouping of the data that reflects the customers' creditworthiness. Our proposed method learns a latent representation of the data, which shows a well-defied clustering structure capturing the customers' creditworthiness. These clusters are well suited for the aforementioned banks' activities. Further, our methodology generalizes to new customers, captures high-dimensional and complex financial data, and scales to large data sets.
Research has also been conducted on modifying the original VAE aiming to improve the quality of the learned latent representations. In @cite_25 , for example, the authors add an hyperparamter @math to the VAE, which limits the capacity of the latent information channel and impose an emphasis on learning statistically independent latent factors. Hence, the model is able to learn disentangled factors of variation.
@cite_25
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Learning an interpretable factorised representation of the independent data generative factors of the world without supervision is an important precursor for the development of artificial intelligence that is able to learn and reason in the same way that humans do. We introduce beta-VAE, a new state-of-the-art framework for automated discovery of interpretable factorised latent representations from raw image data in a completely unsupervised manner. Our approach is a modification of the variational autoencoder (VAE) framework. We introduce an adjustable hyperparameter beta that balances latent channel capacity and independence constraints with reconstruction accuracy. We demonstrate that beta-VAE with appropriately tuned beta > 1 qualitatively outperforms VAE (beta = 1), as well as state of the art unsupervised (InfoGAN) and semi-supervised (DC-IGN) approaches to disentangled factor learning on a variety of datasets (celebA, faces and chairs). Furthermore, we devise a protocol to quantitatively compare the degree of disentanglement learnt by different models, and show that our approach also significantly outperforms all baselines quantitatively. Unlike InfoGAN, beta-VAE is stable to train, makes few assumptions about the data and relies on tuning a single hyperparameter, which can be directly optimised through a hyper parameter search using weakly labelled data or through heuristic visual inspection for purely unsupervised data.