Much of his research involves applications of predictive and prescriptive analytics in the area of credit scoring and consumer credit risk modelling. For example, he has researched advanced statistical or machine learning methods to predict Probability of Default (PD), Loss Given Default (LGD), i.e. the proportion of a loan that a lender is unable to recover if the borrower defaults, credit card balance at default, time to default (using survival analysis), and loan profitability.
