Address:
1600 Lena St., Suite E3
Santa Fe, NM 87505

Phone
+1-505-670-7670

E-mail:
sales@prescientmodels.com

Web:
www.prescientmodels.com




To receive our newsletter updates, fill-in the following form.

* required

*







Email Marketing by VerticalResponse

Publications

The following publications are available for purchase or download.

Reinventing Retail Lending Analytics The new standard for loss reserve estimation, Current Expected Credit Loss (CECL), is causing major changes in the financial services industry. We have essential research results to help you make the right choices:

Living with CECL: Mortgage Modeling Alternatives, 2018.

This is an exhaustive study of how to apply CECL to term loans. Many model types, CECL details, and assumptions were tested. The book provides complete details on the methods and results.
Available on Amazon here.

Living with CECL: The Modeling Dictionary, 2018.

For those new to modeling and forecasting, just defining the terms can be difficult. In fact, several early presentations on CECL failed to use terms consistently with the academic literature. This "Dictionary" defines essential terms and modeling techniques in a way that connects to the academic literatures.
Available on Amazon here.

Reinventing Retail Lending Analytics, 2nd Impression, Riskbooks, 2014.

This is the definitive text on forecasting and stress testing for retail lending portfolios. It describes the algorithms, problem designs, and validation techniques that provide the most robust solutions for these loan portfolio. It also extends this framework to economic capital and loan-level modeling.
Available on Amazon here.

CECL Procyclicality: It Depends on the Model

The benefits of CECL depends upon how much early warning is provided to crises. The answer, however, depends completely on the model.
Click here for the paper.

Consumer Risk Appetite, the credit cycle, and the housing bubble

Recently published in the Journal of Credit Risk, this paper describes the economic motivations behind shifts in consumer demand for credit. In doing so, it discusses how the factors can be used to predict shifts in credit risk that are missed by existing credit scores.
Click here for the paper.

Introduction to Portfolio Analysis

This series of papers in the RMA Journal provide a basic introduction to all aspects of portfolio analysis.

Other Trade Publications on Retail Lending

Academic Publications on Retail Lending Analytics and Validation