讲座题目：《Profit-Driven Credit Scoring under Uncertainty: Methodology and Applications》

主讲嘉宾：寇纲 教授

讲座时间：2024年5月11日（星期六）16：00-18：00

讲座地点：沙河校区二教201

讲座主持：刘志东 教授

讲座摘要：This study delves into the development and practical application of credit-scoring methods under uncertainty scenarios, with a particular emphasis on aligning with the economic goals of decision-makers. Firstly, we address the challenge of parameter uncertainty, where the precise values needed to calculate model profitability are unknown. We introduce a novel profit-based metric, the worst-case expected minimum cost (WEMC), designed to eprofitability of credit-scoring models when faced with uncertain parameters. Additionally, we present the Worst-Case Conditional Value-at-Risk (WCVaR) as a measure of potential losses when applying a classification model in credit scoring with fluctuating cost parameters. Leveraging these metrics, we develop a multi-objective feature selection framework aimed at optimizing model performance by minimizing both costs and risks. The practicality and economic benefits of this framework are demonstrated through empirical analysis. Furthermore, we investigate the effects of predictive uncertainty on the volatility of profits in credit scoring. To address this, we propose a profit-driven uncertainty estimation method that incorporates the economic considerations of decision-makers. This method is applied within a classification with rejection framework, and our empirical results confirm the effectiveness and practical value of the proposed approach in enhancing the robustness of credit scoring models.

嘉宾简介：

寇纲，教授，博士生导师。现任全国政协委员、湘江实验室副主任、西南财经大数据研究院院长、国家杰出青年科学基金获得者、全国MBA教育指导委员会委员。主持多项国家社科基金重大项目、国家自科基金重点国际合作项目等基金项目。共发表论文100余篇，过去5年被他引万余次；多次荣获教育部自然科学一等奖，国家级教学成果二等奖等国家级奖励。

主办单位：管理科学与工程学院