HIPERFIT Seminar Talk: Automated Loan Credit Rating

Presenter: Omri Ross, Post-doctorial Researcher, IMF/University of Copenhagen

Time: Tuesday, January 26, 2016, 15:15-16:00

Place: August Krogh Building (AKB), AUD 1. Universitetsparken 13, University of Copenhagen.


The current process of credit rating for a loan approval in Denmark is manual, cumbersome and non-optimal. We would like to propose a process allowing for a quick credit decision based on the available personal data. Our process has two steps: First using a non-linear dimensional reduction algorithm on the original data and then running a classification algorithm on the results of the first step. We improve existing results compared to the standard benchmarks.


Omri Ross has done a PhD in mathematical finance at the university of Cambridge followed by a post-doc at DTU and KU. His main research interests are financial engineering and tactical asset allocation. The work presented here is part of a collaboration between KU and an industrial partner Densou Trading Desk.

Host: Martin Elsman and Rolf Poulsen


26 January 2016