Excellent stuff! I’ve worked in this area. Have you considered applying ratios like the Altman z-score?
I’m also curious how you back tested to get the final scoring.
I’m also curious how you back tested to get the final scoring.
The data is very imbalanced; there are very few insolvent companies compared to solvent ones. Therefore, I work with synthetic data in my training dataset. To get the final score, I need to scale the predictions to achieve a heavily right-skewed distribution.
Currently, I am using the method Platt scaling.