Abstract: Methods and systems for generating a model to be used for evaluating credit and loan applications are provided. The method includes: training a first model by using all features included in a universe of candidate features; measuring a first metric that relates to an accuracy of the first model and a second metric that relates to a disparity of the first model; constructing a graph based on pairwise correlations of the features; clustering the features into feature sets; estimating a respective disparity contribution associated with each feature set; selecting feature sets to be included in a second model; training, the second model; measuring the first metric and the second metric with respect to the second model; and determining whether the second model satisfies a predetermined accuracy level and a predetermined disparity reduction with respect to the first model.

Abstract: Various methods, apparatuses/systems, and media for automatically computing grouped Shapley values for action reason codes are disclosed. A processor utilizes a machine learning model that is configured to output decision data; accesses a database that stores the outputted decision data and data corresponding to groups of related features; establishes a communication link between the machine learning model and the database; directly calculates grouped Shapley values that represent mathematically justifiable measure of importance for the groups of related features by implementing a predefined mathematical algorithm; and outputs reason codes based on the computed grouped Shapley values.

Abstract: In at least one aspect, the invention comprises a method comprising creating, based on specified rules, an index of asset-backed floating rate securities categorized into a plurality of asset classes; and pricing the index according to a matrix pricing method. In at least one other aspect, the invention comprises an index of asset-backed floating rate securities categorized into a plurality of asset classes, wherein the index is created based on specified rules and priced according to a matrix pricing method. In at least one other aspect, the invention comprises a method comprising participating in a total return swap on an index of asset-backed floating rate securities categorized into a plurality of asset classes, wherein the index has been created based on specified rules and priced according to a matrix pricing method.