FastTree-Guided Genetic Algorithm for Credit Scoring Feature Selection

Abstract

Feature selection is pivotal in enhancing the efficiency of credit scoring predictions, where misclassifications are critical because they can result in financial losses for lenders and exclusion of eligible borrowers. While traditional feature selection methods can improve accuracy and class separation, they often struggle to maintain consistent performance aligned with institutional preferences across datasets of varying size and imbalance. This study introduces a FastTree-Guided Genetic Algorithm (FT-GA) that combines gradient-boosted learning with evolutionary optimization to prioritize class separability and minimize false-risk exposure. In contrast to traditional approaches, FT-GA provides fine-grained search guidance by acknowledging that false positives and false negatives carry disproportionate consequences in high-stakes lending contexts. By embedding domain-specific weighting into its fitness function, FT-GA favors separability over raw accuracy, reflecting practical risk sensitivity in real credit decision settings. Experimental results show that FT-GA achieved similar or higher AUC values ranging from 76% to 92% while reducing the average feature set by 21% when compared with the strongest baseline techniques. It also demonstrated strong performance on small to moderately imbalanced datasets and more resilience on highly imbalanced ones. These findings indicate that FT-GA offers a risk-aware enhancement to automated credit assessment workflows, supporting lower operational risk for financial institutions while showing potential applicability to other high-stakes domains.