Learning Data Quality Analytics for Financial Services

Financial institutions put tremendous efforts on the data analytics work associated with the risk data in recent years. Their analytical reports are yet to be accepted by regulators in financial services industry till early 2019. In particular, the enhancement needs to meet the regulatory requirement the APRA CPG 235. To improve data quality, we assist in the data quality analytics by developing a machine learning model to identify current issues and predict future issues. This helps to remediate data as early as possible for the mitigation of risk of re-occurrence. The analytical dimensions are customer related risks (market, credit, operational & liquidity risks) and business segments (private, wholesale & retail banks). The model is implemented with multiple Long Short-Term Memory ( LSTM ) Recurrent Neural Network ( RNNs ) to find the best one for the quality & prediction analytics. They are evaluated by divergent algorithms and cross-validation techniques

An Adaptive Fast Solver for a General Class of Positive Definite Matrices Via Energy Decomposition

In this paper, we propose an adaptive fast solver for a general class of symmetric positive definite (SPD) matrices which include the well-known graph Laplacian. We achieve this by developing an adaptive operator compression scheme and a multiresolution matrix factorization algorithm which achieve nearly optimal performance on both complexity and well-posedness. To develop our adaptive operator compression and multiresolution matrix factorization methods, we first introduce a novel notion of energy decomposition for SPD matrix $A$ using the representation of energy elements. The interaction between these energy elements depicts the underlying topological structure of the operator. This concept of decomposition naturally reflects the hidden geometric structure of the operator which inherits the localities of the structure. By utilizing the intrinsic geometric information under this energy framework, we propose a systematic operator compression scheme for the inverse operator $A^{-1}$. In particular, with an appropriate partition of the underlying geometric structure, we can construct localized basis by using the concept of interior and closed energy. Meanwhile, two important localized quantities are introduced, namely, the error factor and the condition factor. Our error analysis results show that these two factors will be the guidelines for finding the appropriate partition of the basis functions such that prescribed compression error and acceptable condition number can be achieved. By virtue of this insight, we propose the patch pairing algorithm to realize our energy partition framework for operator compression with controllable compression error and condition number

A Fast Hierarchically Preconditioned Eigensolver Based on Multiresolution Matrix Decomposition

In this paper we propose a new iterative method to hierarchically compute a relatively large number of leftmost eigenpairs of a sparse symmetric positive matrix under the multiresolution operator compression framework. We exploit the well-conditioned property of every decomposition component by integrating the multiresolution framework into the implicitly restarted Lanczos method. We achieve this combination by proposing an extension-refinement iterative scheme, in which the intrinsic idea is to decompose the target spectrum into several segments such that the corresponding eigenproblem in each segment is well-conditioned. Theoretical analysis and numerical illustration are also reported to illustrate the efficiency and effectiveness of this algorithm