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4373. Evolution of IRB models through new data sources and machine learning
Invited abstract in session TD-63: New Challenges for Risk Management , stream OR in Banking, Finance and Insurance: New Tools for Risk Management.
Tuesday, 14:30-16:00Room: S14 (building: 101)
Authors (first author is the speaker)
| 1. | Federico Avataneo
|
| Credit Rating Models, Intesa Sanpaolo spa |
Abstract
The data available on SMEs (small and medium-sized enterprises) has recently experienced a sharp increase as new sources have emerged, providing value added to improve the risk management models of banks, which can be processed using advanced ML techniques. The characteristics of this segment make the adoption of ML models particularly well-suited and strategic, supporting process automation and digitalisation. To achieve these goals, the rating model has been updated, making it available online and in real time, without easing risk management standards. ML algorithms provide a tool to complement pre-existing approaches enhancing their breadth and accuracy.
Keywords
- Finance and Banking
- Risk Analysis and Management
- Financial Modelling
Status: accepted
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