Santa Fe, NM 87501
Reinventing Retail Analytics, 2 Mar 2014
To meet their expanding need for models, banks worldwide continue to bring in new analysts at a rapid pace. For this reason, our training courses continue to be in high demand.
Following up on our successful training course in Prague in February 2014 and several throughout 2013, we will be running training courses in Dubai, March 25-27 and Chicago, April 29-May 1. Our Reinventing Retail Lending Analytics training courses teach the reasons most models fail, the principles and key insights into loan-level modeling, and best practices in forecasting, stress testing, and economic capital. In every area we give examples of how to use publicly available algorithms and techniques in order to create robust models that thrive in volatile environments.
Reinventing Retail Analytics, the book, was first published by Riskbooks in 2010. It was intended to answer the question from students at the training courses, "What book can I read about this?" The book has had a good run, reaching "bestseller" status at Riskbooks, but technology and business focus change fast. After discussions with Riskbooks, we decided to create a "second impression" that includes, among many smaller enhancements, using mean-reverting scenarios for long-range forecasting, estimating economic capital from scenario-based forecasting models, and a major expansion of how to create loan-level probability models that incorporate best practices from vintage-modeling techniques.
This last point is essential in creating loan-level forecast and stress test models, which are increasingly becoming a requirement from regulators. We explain how to do create such models in the book and in the courses.
All course attendees receive a copy of the book. To order a copy, you can visit the Riskbooks website. Please note that we negotiated hard with Riskbooks to bring the list price down to half that of the first edition!
In the US we first had SCAP, then CCAR, then DFAST. In Europe we have the EU-wide Stress Testing. Regulators in many countries have recognized that even Basel II is not enough. Stress testing is our first real opportunity to put everything we know about our portfolios' dynamics into a real forward-looking estimate of a bank's risks.
At Prescient Models, we have grown rapidly over the last 12 months in response to client requests to create stress test models and validate the models of others. If all goes according to plan, we hope to publish a smaller book this Fall focused just on best practices in building and validating stress test models.
If you have a question about stress testing or anything else in analytics, I always answer questions for free. Just send me an email. I only charge if you ask me to do the work. Bank soundness is too important to give knowledge only to the highest bidder. I want everyone to build the best models they can with the resources available so that we all live in a more financially secure world. Let me know how we can help.