I was working on a project connected to predicting default on credit loan with 0-1 loss. The recall is a crucial measure that should be maximized in this case, while monitoring precision for sanity of the results. As it is usuall with such data, the sample was heavily unbalanced, with low frequency of default cases. Although the algorithms I have trained (bagged/boosted trees, logistic regression etc.) obtained high accuracy and high precision the recall was low.
I have tried to work with probability treshold of labeling predicted cases, namely decreasing it, but a tiny increase in recall was highly costly in terms of precision and accuracy.
Am I doomed because those default cases that were not recalled are inseparable, or is there a trick to work with that?
I have thought of maybe doing some clustering on the data and fitting different sub models for different clusters, but I am not sure how to proceed.
I have also thought of subsampling in such a way that the default and not default would be more less balanced, and repeating such procedure keeping the default cases fixed and not default changing over the sample. Later creating an ensamble.