Feature Selection for Peer-to-Peer Lending Default Risk Using Boruta and mRMR Approach

Peer-to-peer (P2P) lending in the Financial Technology (FinTech) sector is increasingly gaining attention from people where the online platform enables lenders to offer loans to borrowers. The platform as a much needed mechanism targets to reduce the risk of default and increase profitability for lenders and the platform. Each loan record maintains a variety of attributes, including details about the loan, the borrower, their credit history, their finances, and public data. If all the features are considered, the performance of the lending platform may decline. Finding the necessary characteristics more helpful in forecasting loan default is a concern. This paper investigates essential features of the P2P lending mechanism with adequate performance in lending money to individuals or businesses. We employ two algorithms to find the pertinent features: Boruta and Max-Relevance and Min-Redundancy (mRMR). Further, we use two classifiers-decision tree and XGBoost that exercise the selected elements to predict the loan defaults.