Postdoctoral Research Fellow

Company:The University of Edinburgh Business School

Location:United Kingdom / Edinburgh

Discipline:Optimization Models for Interpretable Analytics

Employment Type:Full time (35 hours) fixed term role for 11-months


Postdoctoral Research Fellow

The University of Edinburgh Business School is seeking to appoint a post-doc to work on the EPSRC-funded project ‘Optimization Models for Interpretable Analytics’.

The project will propose new methodologies to estimate models that deal with complex data, but are easy to interpret. In particular, we will focus on the three most important challenges in the area of banking: probability of default, time-to-default and loss-given-default estimation. Different notions of interpretability will be taken into account. They will be defined in collaboration with practitioners in the industry of banking and risk. Different definitions will be then be modelled as mathematical constraints and regularization terms, to be added to the mathematical programming problems involved in the model estimation.

We are looking for a candidate with a good background in one or more of the following areas:

  • optimization models and methods,
  • mathematical data science,
  • credit risk modelling,

Candidates with background in pure mathematics are also welcome if they can prove interest in transferring their theory to solve applied problems.

The candidate will be integrated in the Management Science and Business Economics (MSBE) research group.

This is a full time (35 hours) fixed term role for 11-months.

Salary: £33,199 - £39,609 per annum.

Closing date: 5pm (GMT) on Wednesday 12 June, 2019.

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