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A Behavioral Risk Model for Deposit Only Customer

Tuesday, July 23, 2019 - 11:00 to 11:30
Wenzheng (Poppy) Zhou
Statistics Seminar
Room 4192, Earth Sciences Building (2207 Main Mall)

Behavioural risk models are broadly used by financial institutions to manage risk and provide additional credits to grow profitability. The objective of the project is to build an internal behavioural risk model for customers of the BNS who only hold deposit products to calculate customer level credit scores, which will subsequently be used to predict credit risk for future customers. It is the first time that the BNS builds an internal behavioural risk model for deposit only customers. The objectives of this project are to explore if the available behavioural information on deposit only customers can be used to build an accurate model for credit risk prediction, and to compare the performance of alternative modelling approaches, including the logistic regression and alternative machine learning methods such as adaptive boosting.