Dedicated to fostering the profession of quantitative finance

The IAQF is a not-for-profit, professional society dedicated to fostering the profession of quantitative finance by providing platforms to discuss cutting-edge and pivotal issues in the field.


  JOIN IAQF        CONTACT US

Upcoming Events

    • 13 Dec 2022
    • 6:00 PM (EST)
    • Fordham University: 12th Floor Lounge in Lowenstein Building 113 West 60th Street New York, NY 10023
    Register


    6:00 PM Seminar Begins

    7:30 PM Reception


    Hybrid Event:

    Fordham University

    12th Floor Lounge

    Lowenstein Building

    113 West 60th Street

    New York, NY 10023


    Free Registration!


    For Virtual Attendees: Please select Virtual instead of member type upon registration.


    Proof of Vaccination Upon Entry is Required for In-Person Attendees


    Abstract:

    We use unique and proprietary data from a large Fintech lender to analyze whether alternative data captured from an individual's mobile phone (mobile/social footprint) can substitute for traditional credit bureau scores and improve financial inclusion. Variables that measure a borrowers' digital presence, such as the number and types of apps installed, measures of social connections and borrowers' "deep social footprints" based on call logs, significantly improve default prediction and outperform the credit bureau score. Using machine learning-based prediction counterfactual analysis, we find that alternate credit scoring based on the mobile and social footprints can expand credit access for individuals who lack credit scores without adversely impacting the default outcomes. The marginal benefit of using alternative data for credit decisions are likely to be higher for borrowers with low levels of income and education, as well as borrowers residing in regions with low levels of financial inclusion.

    Bio:

    Professor Sudip Gupta is an associate professor of finance at Johns Hopkins University’s Carey Business School. 

    His current research and teaching interests are in the areas of Auctions, Big Data-Machine Learning, Corporate Finance, ESG and Fintech. He is an award-winning teacher, and his research has appeared in top academic journals. He has written papers in the areas of alternative data and credit rating, credit derivatives, ESG ratings and portfolio formation with alternative data, IPOs, nowcasting with alternative data, treasury auctions etc.  

    Prof Gupta is a data hackathon champion and consults various multinational financial corporations and government committees. He has served as an expert in multiple high profile financial class action litigations. 

    Prior to joining Carey, Prof Gupta was a faculty and director of the top ranked MS in Quant Finance program of the Gabelli School of Business (GSB), Fordham University, where he introduced and taught big data-machine learning in finance into the MS curriculum.

    Previously, Dr. Gupta was a full-time faculty member and taught at Indiana University’s Kelley School of Business, Indian School of Business (ISB), New York University’s Stern School of Business, and the University of Maryland’s Smith School of Business. He was the recipient of the Dean’s Impact award for faculty excellence and high impact in research, teaching, and service at GSB. He has a PhD in economics from the University of Wisconsin, Madison.

    Prof Gupta helps build data science and analytics teams for various financial organizations in the Wall Street and has served as chief data scientist for fintech firms.

Latest News

July 12, 2022

The IAQF Announces the Winners of the Eleventh Annual IAQF Academic Affiliate Membership

Student Competition

New York, NY, July 12th, 2022 -- The International Association for Quantitative Finance (http://www.iaqf.org) is pleased to announce the winners of the Eleventh Annual Academic Affiliate Membership Student Competition. Twenty-five teams representing fourteen academic programs submitted papers in response to this year's competition problem which focused on predicters of the state of the market. The full problem can be found on the IAQF Site hereThe competition submissions went through a blind, multi-level selection process and were reviewed by a judging panel comprised of IAQF Board Members. Six teams were selected as winners. The winning papers are available below.

Click Here

Become An IAQF Member


Free Attendance At Monthly Forums


Discounts and invitations to Industry Events


Events


Access To Our Online Portal of Videos

   join iaqf

IAQF Senior Fellow Spotlight

                                                                   


Douglas Breeden

Douglas Breeden is William Priest Professor and former Dean of Duke’s Fuqua School.  He served at Chicago, Stanford, North Carolina and Fischer Black Visiting Professor at MIT, winning ”Outstanding Teacher.”

Breeden published seminal research on insurance prices implicit in options, and Consumption CAPM. His “Central Bank Policy Impacts on Insurance Prices,” won Q-Group’s Roger Murray Prize and was presented globally to central banks.

Breeden was elected to the AFA Board and lifetime Fellow.  The IAQF named Breeden “Financial Engineer of the Year.”

Breeden holds a Stanford Ph.D., and S.B. from M.I.T., was Co-founder of Smith Breeden and on Commonfund’s Board.

© Copyright 2020 International Association for Quantitative Finance