Artificial Intelligence and Credit Risk

Rossella Locatelli is Full Professor of Banking at the University of Insubria, Italy. She graduated in Economics and Banking Science at the Università Cattolica del Sacro Cuore, Italy, where she was a researcher until 1998.  She is also the co-manager of CreaRes, the Business Ethics and Social Responsibility Research Centre,  and manager of Criel, the Research Center on Internationalization of Local Economies. She serves and has served as board member of some listed companies, banks, insurance companies and other financial companies.Giovanni Pepe is KPMG Partner since May 2015 where he works in the Financial Risk Management line of services with a focus on the quantitative aspects of credit risk. As Director of the Bank of Italy, first, and as Representative of ECB, later, he led many on-site inspections at several of the largest Italian banks on a variety of topics, including the validation of internal credit, market and counterparty creditrisk models. He graduated from Federico II University of Naples and specialized in finance at the London School of Economics.  Fabio Salis is Chief Risk Officer of Creval since 2018. Formerly, he was Head of Risk Management at Banco Popolare since 2012, where he led important projects such as validation of credit and operational risk models and EBA stress test. He graduated from University of Pavia (Economics Department), specializing in quantitative methods.

• Chapter 1. Introduction.- Chapter 2. How AI Models are Built.- Chapter 3. AI Tools in Credit Risk.- Chapter 4. The Validation of AI Techniques.- Chapter 5. Possible Evolutions in AI Models.