Dr. Breeden has been designing and deploying risk management systems for loan portfolios since 1996. He co-founded Strategic Analytics in 1999, where he led the design of advanced analytic solutions including the invention of Dual-time Dynamics. He currently runs Prescient Models, which focuses on portfolio and loan-level forecasting solutions for pricing, account management, CCAR, and CECL. 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 US 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. He has published over 40 academic articles, and the second edition of his book "Reinventing Retail Lending Analytics: Forecasting, Stress Testing, Capital, and Scoring for a World of Crises" was published by Riskbooks in 2014. Dr. Breeden received separate BS degrees in mathematics and physics in 1987 from Indiana University. He earned a Ph.D. in physics in 1991 from the University of Illinois studying real-world applications of chaos theory and genetic algorithms.
In this paper, we explore the role of consumer risk appetite in the initiation of credit cycles and as an early trigger of the US mortgage crisis.
A mean-reverting scenario design model to create lifetime forecasts and volatility assessments for retail loans
The authors of this paper develop a modeling framework that can incorporate mean-reverting scenarios into any scenario-based forecasting model.