I am working in a Model Validation team and an intern will join shortly in the team for 6 months.
His background is mainly Machine Learning, he did not do much of mathematical finance.
I am looking for Machine Learning topics on which he could worked on. The topics need to be related to Model Validation (at least vaguely).
From what I have seen so far, there are at least two types of topics he could work on:
- Missing data topics: for example predicting the ratings of bonds (the application is for bonds for which we don't have ratings)
- Fraud detection topics: for example detecting crazy counterparty PV or crazy Markit prices etc ...
Any Ideas?
Regards