All new for 2012. Includes the latest research results.
Learn how to use modeling in a practical way to help gain market share and control risk.
Series Overview
Retail lending has changed dramatically in the last couple of decades, moving from a largely intuitive process to an increasingly automated one. With automation comes the danger of rapidly magnifying problems, as with the U.S. mortgage crisis. Reliance on weak, out-dated models can create portfolio disasters. Managing a retail loan portfolio successfully depends on properly developing, validating, deploying, and integrating a wide range of models.
Who will benefit?
This course is for modelers, analysts, and credit professionals who are involved in modeling or managing retail lending portfolios.
Although the this course covers the development and use of sophisticated analytical techniques, it is intended for portfolio managers, financial analysts, credit policy professionals, and statistical analysts. Anyone with decision-making responsibility in this field will benefit. Discussions will minimize mathematical derivations, instead emphasizing intuitive understanding, use of available algorithms, and best practices in application and implementation.
You will:
- Learn the basics of retail lending analytics.
- Gain an understanding for when these methods can be used reliably, when they fail, and how to use new methods to succeed.
- Obtain a deep understanding of the drivers of credit risk, and how various models capture some, or all, of these drivers.
- Return to the office with code samples and examples for maximizing the performance of your portfolio.
Curriculum
- Conditional (Point-in-Time) and Unconditional (Through-the-Cycle) methods of Volatility Analysis.
- Understanding the sources of volatility in retail lending.
- Incorporating distributions in scenario-based forecasts.
- Asset-valuation models and how they compare to scenario-based methods.
- Application to Basel II and Basel III.
- Computing correlation and diversification between portfolios.
- Creating forward-looking performance metrics of risk-and-reward.
Prerequisites
You should be comfortable with the basics of retail lending in at least one area and have some familiarity with building models in banking.
You may bring a computer to follow along with the course examples. To do so, you will need a computer with Excel and the R statistical language preloaded.
Instructor
Joseph L. Breeden Ph.D., Chief Executive Officer, Prescient Models www.prescientmodels.com
Dr. Breeden has almost 20 years of experience in financial services and is a recognized leader in the industry. At Prescient Models, he is directly involved in research into new modeling techniques and products. He co-founded Strategic Analytics in 1999, where he led the design of advanced analytic solutions including the invention of Dual-time Dynamics.
Dr. Breeden has created models through the 1995 Mexican peso crisis, the 1997 Asian economic crisis, the 2001 global recession, the 2003 Hong Kong SARS recession, and the 2007-2009 U.S. mortgage crisis and global financial crisis. These crises have provided Dr. Breeden with a rare perspective on crisis management and the analytics needs of executives for strategic decision-making. Dr. Breeden's own models were successful throughout the U.S. mortgage crisis and warned of problems as early as the beginning of 2006.
His book Reinventing Retail Lending Analytics: Forecasting, Stress Testing, Capital, and Scoring for a World of Crises was published by Riskbooks in 2010. He currently serves as associate editor for the Journal of Risk Model Validation. Each participant will receive a copy of the book as part of the course materials.
All scheduled dates for this event are listed below. If there are no dates listed we do not currently have this event scheduled.
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