Ethical Artificial Intelligence Models
The adoption of Artificial Intelligence (AI) technologies in the Banking industry has boosted over the last half a decade.
A debate has emerged on different ethical concerns and consequences of the use of AI, not only in banking, but also other areas such as justice, law enforcement and medicine.
This project will explore the development of AI-base.
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Exploring Affordability in Retail Credit
Traditional credit scoring used by the high street lenders creates two classes those who will be given credit and those who will not.
Individuals are therefore excluded from credit and often seek alternative and more expensive forms of credit.
More recently risk-based pricing has been introduced by high street lenders to provide credit to individua.
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Modelling Bankruptcies
There is a large amount of literature on reasons for person bankruptcy.
In this project the sociodemographic characteristics of those who declare bankruptcy will be modelled using mixed fixed and random effect models.
The fixed effects will include states of the macroeconomy.
Initially publicly available data from surveys will be used.
Later we wil.
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Modelling Loss Given Default and Recoveries For Corporate Loans
Each bank that is regulated under the Basel III Accord has to maintain an amount of capital in case of unexpected losses.
The Accord indicates how the minimum amount of capital should be computed.
The amount depends on the amount of risk weighted assets that a bank has and an important component of this is the forecast levels of Loss Given Default .
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Risk Concentration
The amount of capital a bank is required to hold in case of unexpected losses is governed by the Basel II Accord.
The relevant computation of the risk weighted assets makes some ‘assumptions’ about the correlation between the asset values.
The aim of this project is to explore methods of measuring the degree of concentration of risk in a credit por.
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Stress Testing Consumer Credit Portfolios
Regulators and financial, institutions have been ‘stress testing’ their loan portfolios to examine the amount of capital that an institution may expect to maintain to cover for unexpected losses.
However there are many different types of stress test and many methodological difficulties in carrying a stress test out.
In this project the student will.
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What is a good book on credit risk modeling?
Credit Risk Modeling:
Theory and Applications.
Princeton University Press. Lawless, J.
F. (2003).
Statistical Models and Methods for Lifetime Data.
Wiley, Hoboken NJ. Lee, M.-L.
T. and Whitmore, G.
A. (2006).
Threshold regression for survival analysis:modeling event times by a stochastic process reaching a boundary. ,
What is credit risk?
Credit Risk is an indispensable resource for risk managers, traders or regulators dealing with financial products with a significant credit risk component, as well as for academic researchers and students.
