loan decisioning transformation

© 2016. Capital One Bank - All Rights Reserved.

Loan Decisioning Transformation

Project IDEAL(Intelligent Decisioning Engine for Auto Lending)

Fred Crable, Director, Software [email protected]

mailto:[email protected]

2© 2016. Capital One Bank - All Rights Reserved.

About Capital One

• A leading diversified bank – One of the largest Credit Card companies – Top 10 bank in US– Nation’s largest digital bank– 3rd largest independent auto loan provider in US– Largest consumer and commercial banking institution

headquartered in the Washington, DC region• Major operations in 15 US cities, Canada, UK• More than 70 million customer accounts• Business & Leadership

– Ranked #127 on the Fortune 500– Ranked #128 on Forbes

“Most Reputable Companies” list– Listed on The Financial Times “Global 500” (#278)– Ranked Training magazine's “Top 125” companies for

employer-sponsored workforce training and development

2

3Confidential

Loan Decisioning

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Pull Credit

• Equifax• Transunion• Experian• Lexis Nexis

*AnalyticModels

• Customer FICO, Debt

• Collateral Loan to Value

• Back/Front-End

• Pricing Tiers

*Policy Engine

• Max $ Financed

• Tiers• Limits• Fees• Exceptions

Pick Best

• Cash Down• Sales Price• Warranty• APR

IDEAL - Fast Data Use Case

*Run 1000’s in Parallel and pick the best


Big Data Use Case 1 – Analyze and Adjust

• Customer• Collateral

Application

• Credit Report• Driver

VariablesCredit

• In/Out of Policy

• Offers• Scores

Model / Policy

• Accept / Reject

• APR, Finance Amount...

Outcome

• Adjust• AvoidAnalyze

Ref

it / T

est


Big Data Use Case #2 – Inventory Search & Scoring

•Inventory•Book ValueSearch

•Model Scoring

•Policy Checks

Model / Policy

•In/Out of Policy

•APR, Finance Amount...

Outcome


Our Implementation over AKKA

• A system that loads a set of services and uses these services in order specified– Operations can run in parallel or in sequence ( if they have dependencies )

• The sequence of operations and order of operations are configuration driven• The initial operation is evaluated and the result set tested to continue • System takes input from Queue or API and kicks-off the sequence • Operation chains can be expressed as data condition tests or model/mathematical

operations (expressed as configuration yaml or json)


Open Source Scoring Platform with Basic Decisioning Workflow

• Runs 10s of thousands of models per second on a single server (4 cores).

• This will scale out with more cores or servers. As they are added this number increases.

• We can add additional actor systems for other asynchronous activities (e.g. Bureaus or external data sources)


AKKA basics

• AKKA helps implement parallel computing easier. Through Actor model.• AKKA helps to implement distributed parallel computing easier.• Develop code as actor and message handling – (Loosely a java thread).

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Using an Actor (Java)

public class Calculator implements Receiver { LoggingAdapter log = Logging.getLogger(TypedActor.context().system(), this); public void onReceive(Object msg, ActorRef actor) { log.info("Received Message Q> {}", msg); }}

//Get access to the ActorRefActorRef calActor = TypedActor.get(_system).getActorRefFor(calculator);//pass messagecalActor.tell("Hi'there");


Actor Flow Development – JSON Defined Workflow

APIInitiates /

Blocks

Parallel Operatio

nGroup 1 Element 1

Parallel Operatio

nGroup 1 Element 2

Parallel Operatio

nGroup 1 Element 3

Serial Operatio

nGroup 2 Element 1

Serial Operatio

nGroup 2 Element 2

Message Handler

Supervisor

{ "actorSystemName": ”SimpleSystem", "context": { "type": "Define", "supervision": "Escalate", "router": "RandomPool", "lowerCount": 1, "upperCount": 1, "childrenMode": "Sequential” }, "messageHandler": [ { "name": "MessageHandler1", "desc": "MessageHandler1", "clazz": ”Class1", "group": [ { "name": "g1", "desc": "g1", "order": 1, "context": { "type": "Inherit", "childrenMode": ”Parallel" }, "element": [ { "id": 1, "name": "group1-element1", "desc": ”first actor in sequence", "order": 1, "clazz": [ ”MessageInput" ], "bean": ”Class1Bean" } … ] } ] },

interface Class1Bean <MessageInput, MessageOutput> extends ServiceInterface {…public MessageOutput execute(MessageInput M1)


Actor Workflow Supervisor Pattern


Supervisor Actor Patterns


Actor Workflow Mechanics – Operation and Service Definition

"messageHandler": [ { "name": "ApplicationScoringService", "desc": "ApplicationScoringService", "clazz": "com.capitalone.auto.lo.business.Application", "context": {

"group": [ { "name": "ideal", "desc": "ideal credit pull and decisioning workflow", "order": 1, "context": {

"childrenMode": "Sequential", "carryoverRequest": "true"

}, "element": [

{ "name": "dataService", "desc": ”get credit data and alternate

data", "clazz": [ "CurrentMessage" ], "bean": ”DataService"

},

Define service Bean and

relative order of execution


Actor Workflow Mechanics – Conditional Rules

"conditions": [ {

"id": 1, "name": "Exception", "reference": "any executionElementId",

"watch": { "values": ["throws java.lang.Exception”]

}

},{ "id": 2, "name": "PrescoreResponse", "reference": "executionElementId:1.1.1", "watch": { "values": ["com.capitalone.auto.lo.response.PreScoreResponse[getAppDecision notEquals A]"]

}

},




Actor Workflow Mechanics – Conditional Flow

"consequences": [ {

"id": 1, "order": 1, "name": "Exception", "action": {

"whenMatched": [ "Exception”], "thenGoto": "executionElementId:1.3.1" }

}, {

"id": 2, "order": 2, "name": "PreScoreDecline", "action": {

"whenMatched": [”ModelScoringResponse"], "thenGoto": "executionElementId:1.2.1"

} },




Decisioning Workflow


Best Practices

• Plan out your logging strategy with MDC (thread local variable) and use tools like Splunk

• Identify actors like a person, with state and identity• Limit granularity of fan-out or scatter-gather operations• Make sure all actors have the data they need to do their jobs w/o calling

external resources• Make sure actor operations are idempotent• Take checkpoints and use AKKA persistence where applicable

loan decisioning transformation

Technology