Optimising credit limit increases for profit, with Cristian Bravo

There is an adversarial goal here: if you increase the limit, you have a potential profit from the person using the credit limit but you have a very real immediate hit to your provisions.

So now we needed some sort of modelling that didn't just give us whether to increase or not, but which would also give us the optimal value of that increase. We don't just give you a limit increase, we give you the one that minimises the value at risk and also the one that has, in terms of expected value, a profitable margin.