Taking advantage of granular data we measure the change in bank capital requirement resulting from the implementation of AI techniques to predict corporate defaults. For each of the largest banks operating in France we design an algorithm to build pseudo-internal models of credit risk management...

Taking advantage of granular data we measure the change in bank capital requirement resulting from the implementation of AI techniques to predict corporate defaults. For each of the largest banks operating in France we design an algorithm to build pseudo-internal models of credit risk management...