Statistics in Retail Financial Services #bajaj #auto #finance


#retail finance

#

Statistics in Retail Financial Services

(Adams. Anagnostopoulos. Bellotti. Bakoben, Hand, Heard. Gandy. Missaoui, Veraart )

The aims and objectives of the Statistical Methods in Retail Financial Services Research Group are:

To apply statistical methods in the financial sector of industry; and

To develop new statistical methodology arising from the novel challenges presented by these applications.

It is very apparent that the level of sophistication of the methods and tools used by the banks to control their retail credit operations is increasing rapidly, and we aim to continue to be in the vanguard of this development. Our research involves all aspects of mathematics and statistics relating to the retail finance industry. including fraud detection, portfolio modelling, default correlation and risk management.

We have numerous links with organisations within the retail banking sector, and are always involved in discussions with banks and other financial bodies about possible collaborations or research sponsorships. Previous projects have been sponsored by Fair Isaac, Link Financial, and other bodies.

Specific areas of research interest within the Statistics for Retail Finance group:

  • Evaluating scorecards (Hand, Anagnostopoullos, Adams)
  • Fraud detection (Hand, Adams, Heard)
  • Inclusion of macroeconomic conditions on credit risk (Bellotti)
  • Use of survival and panel models for credit risk (Bellotti)
  • Applications of machine learning in credit risk modelling (Bellotti)
  • Stress Testing (Bellotti)
  • Modelling Loss Given Default (Bellotti)
  • Applications of graph mining to portfolio credit risk and fraud detection (Missaoui)

The group is part of the Quantitative Financial Risk Management Centre (QFRMC). This is a research consortium run from the Department of Mathematics at Imperial College, the School of Management at the University of Southampton, and the University of Edinburgh Business School. It was established by the Engineering and Physical Sciences Research Council, with additional funding from the Economic and Social Research Council and the Institute of Actuaries. It carries out research and organises conferences and other meetings addressing issues in the retail financial services sector, in collaboration with banks, credit agencies, and other bodies

Awards:

  • Contributions to the Credit Industry Award, Credit Collections and Risk 2012 annual industry awards

Selected Publications (in chronological order):

Invited Talks / Keynote Presentations:

  • Bellotti (2013) CFE 2013, 7th CSDA International Conference on Computational and Financial Econometrics
  • Bellotti (2013) Royal Statistical Society Workshop: Advanced Statistical Methods in Credit Risk
  • Bellotti (2013) 8th Annual Forum on Retail Credit Risk, London
  • Bellotti (2013) National Association of Data Protection Officers
  • Hand (2012) “Big data: risks, opportunities, and challenges” Demographics User Forum conference on Retail issues, big data, and research.
  • Hand (2012) ” Discriminating or distinguishing? Legalities and moralities in scorecard construction” CCR-interactive, London
  • Hand (2012) ” Big bang, big data, big computers. Opportunities and challenges in modelling and anomaly detection”, Paris
  • Hand (2012) Keynote address, RSS Risk in Business: the business of risk, Telford
  • Hand (2012) “Innovation in customer decisioning to add business value”, Infoline Retail Credit Risk conference

Impact / Industrial Collaborations / Consultancy:

The Statistics in Retail Finance Research Group are active collaborators with the finance industry and have been involved in many successful consultancy projects with several financial institutions over the past thirty years. We usually work through Imperial Consultants (ICON). Some types of consultancy projects we have undertaken are:

  • Credit risk model development
  • Model validation and evaluation
  • Data network analysis
  • Fraud detection models

We regularly organize workshops targeted to practitioners in retail finance as well as the academic community. In the 2012/13 academic year we have hosted workshops onModel Risk and Big Data.

Publications

Crook J, Bellotti AG, 2012,

Asset correlations for credit card defaults

Applied Financial Economics. Pages: 87-95

The capital requirements formula within the Basel II Accord is based on a Merton one-factor model and in the case of credit cards an asset correlation of 4% is assumed. In this article we estimate the asset correlation for two datasets assuming the one-factor model. We find that the asset correlations assumed by Basel II are much higher than those observed in the datasets we analyse. We show the reduction in capital requirements that a typical lender would have if the values we estimated were implemented in the Basel Accord in place of the current values.

Credit scoring, insurance and discrimination

Statistics, Science and Public Policy XVI, Editors: Herzberg, Pages: 85-90, ISBN: 9781553393825

  • Cite
  • Hand DJ, Crowder MJ, 2012,

    Pavlidis NG, Tasoulis DK, Adams NM, Hand DJ et al.. 2012,

    Brentnall AR, Crowder MJ, Hand DJ, 2011,

    The Best Writing on Mathematics 2011

    The Best Writing on Mathematics 2011, Editors: Pitici, Publisher: Princeton University Press, Pages: 67-74, ISBN: 9781400839544

    This book belongs on the shelf of anyone interested in where math has taken us–and where it is headed.

    Krzanowski WJ, Hand DJ, 2011,

    Bellotti T, 2010,

    Journal of Financial Services Marketing. Vol: 14, Pages: 268-277, ISSN: 1363-0539

    • Cite
  • Brentnall AR, Crowder MJ, Hand DJ, 2010,

    Conference on Credit Scoring and Credit Control X, Publisher: PALGRAVE MACMILLAN LTD, Pages: 462-472, ISSN: 0160-5682

    • Author Web Link
    • Cite
  • Brentnall AR, Crowder MJ, Hand DJ, 2010,

    Brentnall AR, Crowder MJ, Hand DJ, 2010,

    Crook J, Bellotti T, 2010,

    Time varying and dynamic models for default risk in consumer loans

    JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY. Vol: 173, Pages: 283-305, ISSN: 0964-1998

    • Author Web Link
    • Cite
    • Citations: 9
  • Hand DJ, Zhou F, 2010,

    Contact Links


  • Leave a Reply

    Your email address will not be published. Required fields are marked *