RISC Colloquium – Analyzing Individual Risk Taking Behavior with Machine Learning: An Application with a Pension Fund Data

By Professor Burak Saltoglu, Boğaziçi University, Istanbul, Turkey

I will discuss a study that examines the actual risk taken behaviour of a private pension fund customers by using machine learning. On a unique data set between 2018 and 2022, we tested how well the scoring method, introduced by the regulator, fares in predicting the actual risks taken by the individuals.