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Capital One’s Statistical Problems

Capital One’s Statistical Problems . Our top ten list August, 2006. Bill Kahn Chief Scoring Officer bill.kahn@capitalone.com. Overview. What Capital One Does How We Do It What We Need. What Capital One Does. Diversified consumer finance. Geography US Canada UK Spain Italy.

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Capital One’s Statistical Problems

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  1. Capital One’s Statistical Problems Our top ten list August, 2006 Bill Kahn Chief Scoring Officer bill.kahn@capitalone.com

  2. Overview • What Capital One Does • How We Do It • What We Need

  3. What Capital One Does Diversified consumer finance Geography • US • Canada • UK • Spain • Italy Products • Card • Auto • Medical • Home • IL • SB • Banking Lifestage • Acquisition • Underwriting • Account management • Collections

  4. Clean historical data Assign 90% to optimal Customer value measures Model with history and treatment Brainstorm products and treatments Collect timely data Optimal DOE on random sample Implement without blunder How We Do It : Quantitative Continuous Learning—QCL

  5. What We Need (Statistically speaking…) 10: Rejection Inference 9: Valuation 8: Complex models 7. Adverse Action 6: Database design 5. Advanced curve fitting 4: Loss Function Optimization 3: DOE 2: Secure data sharing 1: Great people

  6. Summary • Capital loans money • To individuals who competitors misprice • And we could make good use of more advanced statistical technology 10: Rejection Inference 9: Valuation 8: Complex models 7: Adverse Action 6: Database design 5: Advanced curve fitting 4: Loss function optimization 3: DOE 2: Secure data sharing 1: Great people

  7. Q&A

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