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This paper builds a multi-scale stacking ensemble for credit risk scoring and audits LLM-generated explanations, finding that ranking gains are real but small while the narrative explanations are often unfaithful, with SHAP and LIME agreeing on important features but not their order or sign.
The Bank for International Settlements warns that an AI-driven market selloff could quickly spill into credit, citing past stress episodes and an opaque private credit system.