Quantitative Financial Credit and Risk Models

Internet brings significant impacts on finance industry, starting with the credit models. On the positive side, new technology enables new markets that potentially benefit more people in the society. However, the technology calls for a complete new credit model, which is still a state-of-the art research problem. Even worse, the fraudulent activities on the Internet bring more challenges to the finance industry. In this course, we present recent academic and industry practice in this area, to get students started on this cutting-edge research direction. There are three modules: 1) Credit models and architecture; 2) Anti-fraurd architecture and design; and 3) Case studies. The students are expected to read 2 recent publications per week on average, and complete two significant course projects. On project is based on an open dataset and the other is open-ended.