In the afternoon of May 26, 2021, a DBM distinguished lecture, “Credit Scoring for SMEs using Transactional Data: A Profit- and Risk-driven Approach”, was held at T2-102, given online by Prof. Gang Kou.

Dr. Don Chai, Acting Programme Director of EBIS, DBM, delivered a welcome speech.

刘文彬教授向黄旭教授赠送了纪念品Professor Liu Wenbin presented a souvenir to Professor Huang Xu

In the lecture, Prof. Kou illustrated a credit scoring model for SMEs using transactional data–based variables. He analyzed the transactional data provided by banks for bankruptcy prediction. Through a comparative analysis of offline and online tests, it is found that transactional data–based variables improve SME bankruptcy prediction.

To align with business objectives, Prof. Kou proposed a two-stage multi-objective feature selection method. The empirical results shows that the method has improved model comprehensibility and has provided a risk-profit trade-off for banks. He also evaluated the feature importance of selected features in terms of the model profit and model risk. The feature importance analysis proved the importance of transactional data–based variables for bankruptcy forecasting.

Finally, Prof. Kou pointed out that future research can be conducted in three aspects: analyzing transactional data-based variables and financial ratio variables for bankruptcy prediction, finding the casual relations between credit risk and transactional data–based variables, constructing a rule-based credit scoring model and improving model interpretability.

During the Q&A session, Prof. Kou interacted with audience.

Q&A session

Prof. Gang Kou is currently the Executive Dean of School of Business Administration, and the Dean of Research Institute of Big Data, Southwestern University of Finance and Economics (SWUFE). He is the member of National MBA Education Steering Committee of China, and a Distinguished Professor of Chang Jiang Scholars Programme (MOE of China).