This paper uses a credit registry covering the quasi universe of firm-bank relationships in France for the period 1999-2016 to provide a detailed account of the role of very large borrowers ("granular borrowers") in shaping bank-level and aggregate credit variations. We document that the...

In credit markets, screening algorithms discriminate between good-type and bad-type borrowers. This is their raison d’être. However, by doing so, they also often discriminate between individuals sharing a protected attribute (e.g. gender, age, race) and the rest of the population. In this...

This study proposes a theoretical and practical reflection on the use of machine learning methods in the context of the Internal Ratings Based (IRB) approach to banks' capital requirements. While machine learning is still rarely used in the regulatory domain (IRB, IFRS 9, stress tests), recent...