Deep Learning in Credit Risk Modeling

Credit is the oldest form of finance. Identifying, measuring, and managing credit risk is therefore one of the oldest financial problems that mankind has ever encountered. The popularity of credit derivatives such as CDS since the US sub-prime crisis has created an urgent need for investors to accurately assess and quantify credit risk. Deep learning, or neural networks, could provide an effective solution when dealing with complex finance models. Its strong predictive power and broad application have raised significant attraction among researchers in the field of financial risk management.