BellaDati Machine Learning Package for Credit Scoring

Machine learning for credit scoring determines whether a loan will default, as well as the loss incurred if it does default. Unlike traditional finance-based approaches to this problem, where one distinguishes between good or bad counter parties in a binary way, we seek to anticipate and incorporate both the default and the severity of the losses that result. In doing so, we are building a bridge between traditional banking, where we are looking at reducing the consumption of economic capital, to an asset-management perspective, where we optimize on the risk to the financial investor.