In this talk, I will present two multimodal deep learning approaches for credit risk modelling in corporate and small business lending. The first project explores corporate credit rating prediction using a combination of corporate financial statements and stock price return volatility graphs. By incorporating graph neural networks and recurrent neural networks, we developed a dynamic multimodal model that outperforms traditional unimodal models, particularly in predicting credit ratings for previously unseen companies.

The second project delves into the impact of supply chain networks on correlated default for Small and Medium Enterprises (SMEs). We utilize a similar approach, testing various multimodal strategies to analyze the effectiveness of incorporating network data. Our findings demonstrate significant improvements in credit risk assessment for SMEs, highlighting the importance of considering both the directionality and weightedness of supply chain connections.

This talk will provide a comprehensive overview of both research projects, discussing the methodologies, results, and key takeaways for future research directions in credit risk modeling.

Short bio: Dr. Cristián Bravo is Professor and the Canada Research Chair in Banking and Insurance Analytics at the Western University. He also serves as the Director of the Banking Analytics Lab. His research lies at the intersection of data science, analytics, and credit risk, researching how techniques such as multimodal deep learning, causal inference, and social network analysis can be used to understand relations between consumers and financial institutions. He has over 75 academic works in high-impact journals and conferences in operational research, finance, and computer science. He serves as an editorial board member in Applied Soft Computing and the Journal of Business Analytics and is the co-author of the book “Profit Driven Business Analytics”, which has sold over 6,000 copies to date. Dr. Bravo has been quoted by The Wall Street Journal, WIRED, CTV, The Toronto Star, The Globe and Mail, and Global News. He is also a regular panelist at CBC News’ Weekend Business Panel where he discusses the latest news in Banking, Finance and Artificial Intelligence.