Reinventing Retail Lending Analytics

2nd Impression - Forecasting, Stress Testing, Capital and Scoring for a World of Crises

Discipline:  Investing, Credit, Quantitative Analysis

No of pages: 442

First published:

ISBN: 9781782721116

Building on the solid foundation of the previous bestselling first impression, this extended updated impression 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. Reinventing Retail Lending Analytics, Second Impression 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. The book ends by providing examples of the application of nonlinear decomposition. These examples will provide you with rich data sets for exploring portfolio dynamics and improving portfolio management using nonlinear decomposition techniques.

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