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Reinventing Retail Lending Analytics: Forecasting, Stress Testing, Capital and Scoring for a World of Crisis
Incisive Media, March 2010
A more timely book could not be written - Reinventing Retail Lending Analytics walks through the various issues of retail lending and develops approaches to address the interaction between economic cycles and retail lending. The complexity of time is extensively explored: vintages, current time and maturity. The book covers complex issues such as scenario based forecasting, stress testing, volatility analysis, economic capital and portfolio optimisation, credit scoring and last, but not least, model risk.
Reinventing Retail Lending Analytics provides a practical guide to retail lending analytics and the risk assessment and risk management involved.
The global economic crisis of 2008-2009 has exposed the frailty of the most common retail lending models. However, contrary to news headlines, not all the models failed during this crisis. This book describes the components necessary for creating robust and effective models for portfolio performance diagnostics, forecasting, stress testing and economic capital. These concepts are also extended to account-level scoring to show how to move from simple rank-ordering to scenario-based prediction of default probabilities for individual loans. All retail loan types are considered, including the modeling of securitized pools and implications for Basel II.
This book describes retail models in simple language yet it goes beyond just describing implementation as the majority of the book is filled with best practices from the author’s 15 years of experience in the industry and a wide range of industry examples. The book will show the right way to use these models in many specific problem areas, typical results, how best to validate the models and pitfalls to avoid.
This is the only book describing a class of models that worked through the US mortgage crisis, it is the only book that presents models for all retail lending functions that can be integrated across an institution, and it is the only book that captures industry best practices for retail lending. Every retail lending analyst should read this as the textbook for their industry.
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