EPSRC logo

Details of Grant 

EPSRC Reference: EP/R00370X/1
Title: Optimization models for interpretable analytics.
Principal Investigator: Martin-Barragan, Dr B
Other Investigators:
Researcher Co-Investigators:
Project Partners:
Department: Business School
Organisation: University of Edinburgh
Scheme: First Grant - Revised 2009
Starts: 01 January 2018 Ends: 31 December 2019 Value (£): 100,577
EPSRC Research Topic Classifications:
Mathematical Aspects of OR
EPSRC Industrial Sector Classifications:
Financial Services
Related Grants:
Panel History:
Panel DatePanel NameOutcome
07 Jun 2017 EPSRC Mathematical Sciences Prioritisation Panel June 2017 Announced
Summary on Grant Application Form
Companies are still far from capturing the whole potential of data analytics. According to a McKinsey & Company report launched on December 2016, the biggest barrier is the struggle to incorporate data-driven insights into day-to-day processes. This project aims to tackle this issue by developing new methodologies to estimate models that are easier to interpret than the current state-of-the-art methods.

Since the bankruptcy of Lehman Brothers almost one decade ago, the banking sector is facing a rise in regulatory requirements. Society is losing confidence in the sector due to a myriad of scandals and is becoming suspicious of the intensive use of methodologies that are seen as magician tricks by the general public. Even practicing statisticians at banks have more confidence in interpretable models and methods than in the new technologies even though they are often more accurate. Finally, when a loan is rejected, the applicant has the right for an explanation. Given the special importance of interpretability in the banking sector, our project will pay special attention to three clear applications: LGD, time to default and probability of default.

Key Findings
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
Potential use in non-academic contexts
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
Impacts
Description This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
Summary
Date Materialised
Sectors submitted by the Researcher
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
Project URL:  
Further Information:  
Organisation Website: http://www.ed.ac.uk