Interpretable Deep Survival Learning for Credit Default Risk Prediction in Financial Markets
Keywords:
interpretable machine learning, survival analysis, credit default risk, deep learning, financial system governance, fairness, model deploymentAbstract
Credit default risk prediction remains a central challenge in financial markets, where the temporal dynamics of borrower behavior and the need for regulatory transparency demand models that are both accurate and interpretable. Traditional survival analysis methods offer a principled way to model time-to-event data but often fail to capture complex nonlinear interactions in high-dimensional financial datasets. Deep learning approaches, particularly neural networks adapted for survival analysis, have demonstrated superior predictive performance; however, their black-box nature undermines trust and compliance with emerging explainability mandates. This paper presents a comprehensive framework for interpretable deep survival learning applied to credit default risk, integrating architectural innovations with system-level deployment considerations. We examine the trade-offs between model complexity and interpretability, discussing attention mechanisms, time-dependent gradient-based explanations, and surrogate modeling as pathways to transparency. The discussion extends to infrastructure challenges, including real-time inference pipelines, data governance, model sustainability, and fairness across demographic segments. We argue that interpretability is not merely a technical add-on but a structural requirement for robust risk management, regulatory alignment, and equitable credit access. By synthesizing insights from survival analysis, deep learning, and socio-technical systems, we propose a multi-layered evaluation framework that balances predictive power with actionable explanations. The paper further explores policy implications, particularly in light of evolving regulations such as the European Union’s AI Act, and highlights the role of interpretable survival models in reducing systemic risk. Through case illustrations and cross-domain comparisons, we demonstrate that interpretable deep survival learning can bridge the gap between high-performance forecasting and responsible financial governance.
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