Starting at the Top
Setting Up the Problem
Considering Multiple Vintages
Volatility Analysis and Economic Capital
Credit Scores and Account Management
Analysis of the US Mortgage Crisis
An Example Using [email protected] Data
Examples of Modelling Vintages
Epilogue: it’s about time
Any analytical project is made easier if the analyst knows the answer before beginning the analysis. Although this seems somewhat ridiculous, the reality is that experienced analysts, managers and regulatory examiners usually do know the general answer before the analysis begins. This chapter will show results commonly seen when analysing data so that analysts will know when a result does not “smell” right.
Have you ever wondered why the average turnover time for business managers seems to be two to three years? Could it be that peak delinquency for retail loans averages about two years? One possible career path is to book many high-risk loans, capturing significant revenue in the first year, then leave before those loans sour. You look like a star and the next guy can clean up. Maybe that is why every new portfolio manager seems to inherit a mess?
The outlined “management philosophy” is a joke within the industry, but we are forced to wonder if it is not true more often than it should be. Nevertheless, this chapter is about understanding the consumer’s lifecycle so that performance can be anticipated years into the future and managers will not need to flee from