信用风险建模团队终于有了开箱即用的新选择——表格基础模型在小数据集上表现惊艳，做风控建模的可以直接拿来试试，省去调参烦恼。
该论文系统评估了表格基础模型（tabular foundation models）在信用风险预测中的表现，涵盖违约概率（PD）和损失率（LGD）两大核心任务。研究发现，这些模型在多个数据集和实验条件下普遍优于梯度提升等传统方法，且在小数据集场景下提升尤为显著。模型无需超参数调优即可直接使用，降低了计算成本和部署门槛。这一发现对中小企业贷款、低违约组合等数据稀缺场景具有重要实践意义。
Foundation Models for Credit Risk Prediction: A Game Changer?
Predictive models play a pivotal role in credit risk management, guiding critical decisions through accurate estimation of default probabilities and losses. Extensive research has introduced new modeling techniques, complemented by large-scale benchmarking studies consolidating the state-of-the-art. Today, quasi-standards such as gradient-boosting models paired with SHAP explainers have emerged, yet continuous improvement of risk models remains a top priority. Concurrently, rapid advancements in AI, most notably large language models, have disrupted predictive modeling paradigms. Foundation models, pretrained on extensive datasets from diverse domains, have demonstrated remarkable performance by leveraging prior knowledge. While prevalent in natural language processing and computer vision, foundation models for tabular data have only recently emerged. We conjecture that pretraining on out-of-domain data is particularly beneficial in small-data settings, such as SME lending or specialized corporate portfolios, and may help address longstanding challenges including low default portfolios and class imbalance. This paper benchmarks recently proposed tabular foundation models against a broad set of competitors, including established and advanced machine learning techniques, across two core tasks: PD and LGD modeling. Our evaluation encompasses various datasets, performance indicators, and experimental conditions. We find that tabular foundation models generally perform best across datasets and tasks. Moreover, they offer significant improvement in predictive performance as dataset size shrinks. These results are remarkable given that the models are tested out-of-the-box, without hyperparameter tuning, ensuring ease of use and mitigating computational costs.