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This conference will present attendees with case-study-based challenges and also examines tools and methods to help find solutions.
On 5 November Jonathan Crook will be presenting in a session with Dan Kellett of Capital One on the validation of credit risk models at a conference called Validate AI at the Royal Society.
Jonathan will talk about topics including sources of model bias such as sampling bias, algorithmic bias, indirect bias, and the omission of important variables.
As the 2019 Credit Scoring and Credit Control conference approaches, organiser and CRC director Jonathan Crook offered his opinion on the role of the conference today.
Jonathan Crook writes, “It’s an exciting time to be working at the crossroads of finance and technology, helping businesses improve their customer journeys and making the most of new sources of data.”
The full article can be read on the Business School website:
The University of Edinburgh Business School and the School of Informatics are currently seeking to appoint two postdoctoral research fellows.
This opportunity is no longer available.
We are seeking to appoint two postdoctoral research fellows for a 6-month full-time fixed-term period (July–December 2019) to work on an exciting project with SAS and Nationwide.
The successful candidates should have a background in machine learning techniques and credit scoring models.
The University of Edinburgh is currently seeking to appoint a postdoctoral research fellow.
This opportunity is no longer available.
The Business School has an opportunity for an individual with a background in mathematical data science or credit risk modelling to work on an EPSRC-funded project, ‘Optimisation Models for Interpretable Analytics’.
Full details can be found on the University of Edinburgh vacancies website under vacancy reference 047932.
Professor Scheule of the University of Technology Sydney visited the Business School to present recent research.
As part of the CRC seminar series, Harald Scheule, currently Professor of Finance at the University of Technology Sydney, visited the Business School to present his recent research to staff, students, and practitioners. This research looked at using transactional (customer payments) data in mortgage risk modelling.
The research analysed the informativeness of non-mortgage bank payment transactions on mortgage default for a major retail bank, which found short-term interest coverage, income changes, home maintenance expenses, and cash withdrawals are strong predictors of future default. The use of transaction data improves model prediction allowing for earlier intervention that can assist consumers and lower bank losses.
Submissions are now open for a special issue of the Journal of the Operational Research Society.
Guest editors
Jonathan Crook, Christophe Mues, Tony Bellotti, and Galina Andreeva
Call for papers
Empirical and theoretical developments in credit risk modelling are proceeding at a faster pace than ever before. Alternative variables, new algorithms, new regulatory issues, new types of data and much larger volumes of data are all the subjects of the increasing number of papers in the literature. This special issue of JORS aims to bring together outstanding research in any area of credit risk modelling. Papers are invited on any aspect of credit risk modelling including (but not limited to) the following:
Optimisation in credit decisioning
Issues concerning classifiers
Use of new types of data
Stress testing
Loss given default
Probability of default modelling
Use of social media
Dynamic models including the macroeconomy
New issues in reject inference
Survival and related types of models
Interpretability
Bias detection
Affordability
Machine learning for credit risk
Unbalanced classes
Methods of measuring model performance
Shrinkage methods
Papers may relate to credit given to any sector of an economy and any type of credit.
All papers will be subject to the usual refereeing process of JORS.
Please Note: Papers presented at the Credit Scoring and Credit Control XVI conference during 27-30 August 2019 at The University of Edinburgh may be submitted. However this is an open call and any papers in the area may be submitted even if they are not presented at the conference.
The Guest editors of this special issue will be: Professor Jonathan Crook (University of Edinburgh), Professor Christophe Mues (University of Southampton), Dr Tony Bellotti (Imperial College) and Dr Galina Andreeva (University of Edinburgh). The closing date for submissions is 17 January 2020 and submission should be made through the JORS website. All papers must comply with the submission requirements of JORS.
Two PhD students associated with the Credit Research Centre graduated on 26 November 2018.
Angela De Moraes successfully defended her thesis on the topic of ‘Novel Information in Estimating Loss Given Default in Brazil’, whilst Denys Osipenko successfully defended his thesis on the topic of ‘An investigation into methods of predicting income from credit card holders using panel data’.
Former Business School colleague Davide Mare made a welcome return to Edinburgh in November.
As part of his visit, he gave a presentation on ‘Market Power, State Intervention and Bank Risk during the Global Financial Crisis in the Euro Area’. The seminar was well attended by practitioners, faculty and students.
A former Lecturer in Business Economics at the Business School, Davide is now a Research Economist at the World Bank’s Development Research Group leading the update of the World Bank – Bank Regulation and Supervision survey. His main research interests lie in banking, focusing on bankruptcy prediction, credit risk, completion and efficiency.
Dr Liberati of the University of Milano-Bicocca presented on advances in credit scoring.
As part of the Credit Research Centre Seminar Series, Caterina Liberati visited the Business School on 10 November to give a presentation on ‘Advances in Credit Scoring: Combining performance and interpretation in kernel discriminant analysis’.
Dr Liberati is an Assistant Professor in Statistics for Economics at the University of Milano-Bicocca, and gained her PhD in Statistical Methodology for Scientific Research from the University of Bologna. The presentation was well attended by practitioners and scholars with an interest in credit scoring, and was well received.
Jonathan receives the honour in recognition of his international reputation in the area of credit risk modelling and the economics of consumer credit. He is one of only four University of Edinburgh colleagues to be made Fellow this year, among 69 leading scientists.
The Academy of Social Sciences is the national academy of academics, learned societies and practitioners in the social sciences. Its mission is to promote social science in the UK for the public benefit.
The new Fellows are drawn from academics, practitioners and policymakers across the social sciences. They have been recognised after an extensive peer review process for the excellence and impact of their work through the use of social science for public benefit.
