NEW METHODS FOR INCOMPLETE DATA FROM CREDIT ACTIVITIES

Scientific project

The main objective of the Research Initiative is to develop mathematical models and new statistical methods, in particular machine-learning techniques linked to the use of cloud computing, adapted to incomplete data from credit activities.

These new methods will, in particular, allow better understanding and better processing of credit risks, the scale of which were shown by the recent crisis. Scientific advance in this field are of particular importance both for the reduction of systemic risk and for the economic effectiveness of institutions that have to manage credit risk.

The Research Initiative will also contribute to the training of young specialists in these subjects, particularly through training by research and will contribute to the dissemination of knowledge on these topics to the relevant actors in France and in Europe. More specifically, the research team will work on big data from trading processes in credit markets in order to determine the relevant methodologies and algorithms for this type of data.