Credit Risk Modeling: Design and Application

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Global Professional Publishi, Dec 10, 1998 - Business & Economics - 257 pages
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Implementing an application scoring system
Behavior modeling to manage your portfolio
Incorporating economic factors
Statistical techniques for choosing the optimal credit risk model
How to set cutoffs and override rules
Modeling for the sub-prime market
How to evaluate and monitor credit risk models

This is an indispensable guide for credit professionals and risk managers who want to understand and implement modeling techniques for increased profitability. In this one-of-a-kind text, experts in credit risk provide a step-by-step guide to building and implementing models both for evaluating applications and managing existing portfolios.
 

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A lot of stuff mentioned here is actually used in realy life ...practical book.
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Contents

Scoring Applications
1
Using Consumer Credit Information
23
The Basics of a Better Application Score
59
Optimal Use of Statistical Techniques
81
Design and Validation of
113
Data Mining
129
Incorporating Economic Information into
155
Case Studies in Credit Risk Model
169
Evaluating and Monitoring Your Model
191
Issues in Model Design and Validation
207
A Systematic Approach for Managing Credit
223
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About the author (1998)

Elizabeth Mays is the Director of Risk Modelling for Citigroup's Consumer Asset Division.

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