BNPP CIB GM Lab
Abstract:Classical recommender systems often assume that historical data are stationary and fail to account for the dynamic nature of user preferences, limiting their ability to provide reliable recommendations in time-sensitive settings. This assumption is particularly problematic in finance, where financial products exhibit continuous changes in valuations, leading to frequent shifts in client interests. These evolving interests, summarized in the past client-product interactions, see their utility fade over time with a degree that might differ from one client to another. To address this challenge, we propose a time-dependent collaborative filtering algorithm that can adaptively discount distant client-product interactions using personalized decay functions. Our approach is designed to handle the non-stationarity of financial data and produce reliable recommendations by modeling the dynamic collaborative signals between clients and products. We evaluate our method using a proprietary dataset from BNP Paribas and demonstrate significant improvements over state-of-the-art benchmarks from relevant literature. Our findings emphasize the importance of incorporating time explicitly in the model to enhance the accuracy of financial product recommendation.
Abstract:As of 2022, greenhouse gases (GHG) emissions reporting and auditing are not yet compulsory for all companies and methodologies of measurement and estimation are not unified. We propose a machine learning-based model to estimate scope 1 and scope 2 GHG emissions of companies not reporting them yet. Our model, specifically designed to be transparent and completely adapted to this use case, is able to estimate emissions for a large universe of companies. It shows good out-of-sample global performances as well as good out-of-sample granular performances when evaluating it by sectors, by countries or by revenues buckets. We also compare our results to those of other providers and find our estimates to be more accurate. Thanks to the proposed explainability tools using Shapley values, our model is fully interpretable, the user being able to understand which factors split explain the GHG emissions for each particular company.
Abstract:In many businesses, and particularly in finance, the behavior of a client might drastically change over time. It is consequently crucial for recommender systems used in such environments to be able to adapt to these changes. In this study, we propose a novel collaborative filtering algorithm that captures the temporal context of a user-item interaction through the users' and items' recent interaction histories to provide dynamic recommendations. The algorithm, designed with issues specific to the financial world in mind, uses a custom neural network architecture that tackles the non-stationarity of users' and items' behaviors. The performance and properties of the algorithm are monitored in a series of experiments on a G10 bond request for quotation proprietary database from BNP Paribas Corporate and Institutional Banking.
Abstract:We propose a novel deep learning architecture suitable for the prediction of investor interest for a given asset in a given timeframe. This architecture performs both investor clustering and modelling at the same time. We first verify its superior performance on a simulated scenario inspired by real data and then apply it to a large proprietary database from BNP Paribas Corporate and Institutional Banking.