Artificial intelligence and credit risk : the use of alternative data and methods in internal credit rating / Rossella Locatelli, Giovanni Pepe, Fabio Salis.
Locatelli, Rossella.; Pepe, Giovanni.; Salis, Fabio.
2022
HG3751 .L63 2022eb
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Title Artificial intelligence and credit risk : the use of alternative data and methods in internal credit rating / Rossella Locatelli, Giovanni Pepe, Fabio Salis.
Author Locatelli, Rossella.
Uniform Title Artificial Intelligence e credit risk. Italian
ISBN 9783031102363 (electronic bk.)
3031102363 (electronic bk.)
9783031102356 (print)
3031102355
DOI https://doi.org/10.1007/978-3-031-10236-3
Published Cham : Palgrave Macmillan, 2022.
Copyright ©2022
Language English
Description 1 online resource (xvii, 104 pages)
Other Standard Identifiers 10.1007/978-3-031-10236-3 doi
Call Number HG3751 .L63 2022eb
Dewey Decimal Classification 658.8/8
Summary This book focuses on the alternative techniques and data leveraged for credit risk, describing and analysing the array of methodological approaches for the usage of techniques and/or alternative data for regulatory and managerial rating models. During the last decade the increase in computational capacity, the consolidation of new methodologies to elaborate data and the availability of new information related to individuals and organizations, aided by the widespread usage of internet, set the stage for the development and application of artificial intelligence techniques in enterprises in general and financial institutions in particular. In the banking world, its application is even more relevant, thanks to the use of larger and larger data sets for credit risk modelling. The evaluation of credit risk has largely been based on client data modelling; such techniques (linear regression, logistic regression, decision trees, etc.) and data sets (financial, behavioural, sociologic, geographic, sectoral, etc.) are referred to as "traditional" and have been the de facto standards in the banking industry. The incoming challenge for credit risk managers is now to find ways to leverage the new AI toolbox on new (unconventional) data to enhance the models predictive power, without neglecting problems due to results interpretability while recognizing ethical dilemmas. Contributors are university researchers, risk managers operating in banks and other financial intermediaries and consultants. The topic is a major one for the financial industry, and this is one of the first works offering relevant case studies alongside practical problems and solutions. Rossella Locatelli is Full Professor of Banking at the University of Insubria, Italy. Giovanni Pepe is KPMG Partner since May 2015 where he works in the Financial Risk Management line of services with a focus on the quantitative aspects of credit risk. Fabio Salis is Chief Risk Officer of Creval since 2018. Formerly, he was Head of Risk Management at Banco Popolare since 2012, where he led important projects such as validation of credit and operational risk models and EBA stress test.
Bibliography, etc. Note Includes bibliographical references (pages 101-2) and index.
Includes bibliographical references and index.
Access Note Access limited to authorized users.
Source of Description Description based on print version record.
Added Author Pepe, Giovanni.
Salis, Fabio.
Available in Other Form Artificial Intelligence and Credit Risk
ARTIFICIAL INTELLIGENCE E CREDIT RISK.
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Introduction
How AI Models Are Built
AI Tools in Credit Risk
The Validation of AI Techniques
Possible Evolutions in AI Models.

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