SAFE Digital Finance Seminar: "The Fairness of Credit Scoring Models" Christophe Hurlin (University of Orleans, France)


21 May 2025 15:00 PM
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21 May 2025 16:00 PM

The Leibniz Institute for Financial Research SAFE organizes and cordially invites you to attend the next

SAFE Digital Finance Seminar: The Fairness of Credit Scoring Models (Management Science, Forthcoming)

Christophe Hurlin, Professor of Economics at University of Orleans, France

to be held on 21 May, 03:00 p.m. CEST, via Zoom

Zoom link

Abstract: In credit markets, screening algorithms aim to discriminate between good-type and bad-type borrowers. However, when doing so, they can also discriminate between individuals sharing a protected attribute (e.g., gender, age, racial origin) and the rest of the population. This can be unintentional and originate from the training data set or from the model itself. We show how to formally test the algorithmic fairness of scoring models and how to identify the variables responsible for any lack of fairness. We then use these variables to optimize the fairness-performance tradeoff. Our framework provides guidance on how algorithmic fairness can be monitored by lenders, controlled by their regulators, improved for the benefit of protected groups, while still maintaining a high level of forecasting accuracy.

Christophe Hurlin is professor of economics at University of Orleans, senior member at the Institut Universitaire de France (IUF), director of the Laboratoire d’Économie d'Orléans (LEO) and head of the master ESA (Econometrics and Applied Statistics). Prior, he was associate professor at University Paris-Dauphine and taught at HEC Lausanne and University of Genève. Christophe Hurlin holds a PhD from University of Paris 1 Panthéon-Sorbonne. 
His research topics are financial econometrics, econometrics, financial risk management, and reproducible research. His papers have been published in many academic journals including Journal of Financial Econometrics, JFQA, Review of Finance, European Journal of Operational Research, Journal of Banking and Finance, Journal of Empirical Finance, Management Science and Science. He is the co-founder with Christophe Pérignon (HEC, Paris) of RunMyCode and cascad, the first Certification Agency for Scientific Code and Data.