Predictably Unequal? The Effects of Machine Learning on Credit Markets
This paper uses various types of machine learning models to predict credit risk using historical mortgage data. It finds gains in predictiveness that would likely lead to an increase in approvals across all demographic groups, but that average prices could increase for African-American and Hispanic borrowers due to differences in risk calculations.
Andreas Fuster, Paul Goldsmith-Pinkham, Tarun Ramadorai, and Ansgar Walther.