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

Phone
+1-505-670-7670

E-mail:
sales@prescientmodels.com

Web:
www.prescientmodels.com




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Publications

The following publications are available for purchase or download.

Mass Extinctions: Natural and Financial

April 27, 2020
Click here for the paper.

These are the Times That Try One's [Machine Learning Models]

March 31, 2020
Click here for the paper.

COVID-19 Recession: Hope for a Sprint, Plan for a Marathon

March 31, 2020
Click here for the paper.

Why your Stress Test Model will Over-predict Losses for the COVID-19 Recession

March 1, 2020
Click here for the paper.

Quantifying the Alternatives: Applying CECL to Credit Cards

March 1, 2020
Click here for the paper.

Predicting Economists: Generating Scenarios for Stress Testing Future Loss Reserves

January 7, 2020
Click here for the paper.

In Regards to Proposed Rule 10-17-19 Interagency Policy Statement On Allowances For Credit Losses

December 15, 2019
Click here for the paper.

Dear Congress: Don't toss CECL out, work with FASB to amend it

July 2, 2019
Click here for the paper.

When Big Data Isn't Enough

March 1, 2019
Click here for the paper.

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.

CECL Procyclicality: It Depends on the Model

Sep 14, 2018

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

May 16, 2018

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.

Reinventing Retail Lending Analytics

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.

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