Abstract
In this article, we show how an “expert” credit rating model can be optimized through the use of a genetic algorithm, a way of combining expert intelligence with artificial intelligence. This innovative method combines transparency and simplicity. It also shows that it is possible to make the model selection and optimisation process less dependent on human judgment alone, without becoming a black box. The model proposed here complies with current (CRR) and future (BCBS, 2017) European banking regulatory requirements. It is also the first study to comply with last November European Banking Authority statement on machine learning for Internal Ratings-Based models (EBA, 2021).
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
