Capsule Network-Based Multimodal Fusion for Mortgage Risk Assessment from Unstructured Data Sources
Bibliographic record
Abstract
Mortgage risk assessment traditionally relies on structured financial data, which is often proprietary, confidential, and costly. In this study, we propose a novel multimodal deep learning framework that uses cost-free, publicly available, unstructured data sources, including textual information, images, and sentiment scores, to generate credit scores that approximate commercial scorecards. Our framework adopts a two-phase approach. In the unimodal phase, we identify the best-performing models for each modality, i.e. BERT for text, VGG for image data, and a multilayer perceptron for sentiment-based features. In the fusion phase, we introduce the capsule-based fusion network (FusionCapsNet), a novel fusion strategy inspired by capsule networks, but fundamentally redesigned for multimodal integration. Unlike standard capsule networks, our method adapts a specific mechanism in capsule networks to each modality and restructures the fusion process to preserve spatial, contextual, and modality-specific information. It also enables adaptive weighting so that stronger modalities dominate without ignoring complementary signals. Our framework incorporates sentiment analysis across distinct news categories to capture borrower and market dynamics and employs GradCAM-based visualizations as an interpretability tool. These components are designed features of the framework, while our results later demonstrate that they effectively enrich contextual understanding and highlight the influential factors driving mortgage risk predictions. Our results show that our multimodal FusionCapsNet framework not only exceeds individual unimodal models but also outperforms benchmark fusion strategies such as addition, concatenation, and cross attention in terms of AUC, partial AUC, and F1 score, demonstrating clear gains in both predictive accuracy and interpretability for mortgage risk assessment.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.004 |
| Meta-epidemiology (narrow) | 0.002 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.003 |
| Open science | 0.001 | 0.002 |
| Research integrity | 0.001 | 0.002 |
| Insufficient payload (model declined to judge) | 0.002 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".