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Intelligent Credit Scoring: Building and Implementing Better Credit Risk Scorecards (Wiley and SAS Business Series)

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en Limba Engleză Carte Hardback – 24 Mar 2017
PRAISE FOR INTELLIGENT CREDIT SCORING
"Siddiqi offers a contemporary, step–by–step guide to developing and implementing successful in–house credit scorecards. He sets out the key concepts in an ordered and simple–to–follow fashion, supported by insightful worked examples. A must–read for anyone in risk management responsible for credit scoring."
Jonathan Baum, Chief Credit Officer, Lloyds Banking Group
"Siddiqi′s book is a must–read for anyone looking to develop scorecards in house, or who just needs a refresher on technique. Consumer Portfolio Services has benefitted tremendously from the knowledge and insights gained within these pages. I highly recommend this book as your trusted companion while on your educational journey into scorecard development!"
Rick Haskell, SVP of IT and Risk Management, Consumer Portfolio Services
"The author presents an integrated framework for development of Internal Scoring/Rating System for assessment and measurement of Credit Risk that really helps for implementation of Basel II IRB approach and IFRS–9 credit risk modeling."
Javed H. Siddiqi, Bsc(Hons), Msc(Physics), MBA(Finance), Head of Risk Management, Soneri Bank
"A great read for anyone interested in the evolution of credit scorecard development in the banking industry. Naeem also provides an expert view of the scorecard development process, usage, implementation, and the importance of monitoring. This book is an informative read for experienced and novice scorecard developers alike."
Daniel Bonomo, Vice President, Retail Risk Models, Scotiabank
"This is a timely and detailed update of the original edition, since the art and science of credit scoring has developed significantly. This edition retains its appeal to users given its simple to understand language, whilst covering complex technical content. The coverage of validating generic scorecards is relevant since in many locations customized scorecards may not be feasible."
Satinder Pal Singh Ahluwalia, Micro Business Director, PT Bank Danamon Indonesia, Tbk
"In this new edition, Naeem continues to offer very practical approaches and ideas which are pertinent now more than ever to financial institutions of various sizes. Organizations will find useful tools in this book to help them improve their development, use, and understanding of credit scoring models even if they aren′t developing their own. This book is a must for every professional credit risk manager."
Sylvain Fortier, CERA, ASA, Vice President and Chief Risk Officer, UNI Financial Cooperation
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Specificații

ISBN-13: 9781119279150
ISBN-10: 1119279151
Pagini: 464
Dimensiuni: 164 x 231 x 37 mm
Greutate: 0.74 kg
Ediția: 2nd Edition
Editura: Wiley
Seria Wiley and SAS Business Series

Locul publicării: Hoboken, United States

Public țintă

Treasurers, credit risk managers, and CFOs

Textul de pe ultima copertă

PRAISE FOR INTELLIGENT CREDIT SCORING
"Siddiqi offers a contemporary, step–by–step guide to developing and implementing successful in–house credit scorecards. He sets out the key concepts in an ordered and simple–to–follow fashion, supported by insightful worked examples. A must–read for anyone in risk management responsible for credit scoring."
Jonathan Baum, Chief Credit Officer, Lloyds Banking Group
"Siddiqi′s book is a must–read for anyone looking to develop scorecards in house, or who just needs a refresher on technique. Consumer Portfolio Services has benefitted tremendously from the knowledge and insights gained within these pages. I highly recommend this book as your trusted companion while on your educational journey into scorecard development!"
Rick Haskell, SVP of IT and Risk Management, Consumer Portfolio Services
"The author presents an integrated framework for development of Internal Scoring/Rating System for assessment and measurement of Credit Risk that really helps for implementation of Basel II IRB approach and IFRS–9 credit risk modeling."
Javed H. Siddiqi, Bsc(Hons), Msc(Physics), MBA(Finance), Head of Risk Management, Soneri Bank
"A great read for anyone interested in the evolution of credit scorecard development in the banking industry. Naeem also provides an expert view of the scorecard development process, usage, implementation, and the importance of monitoring. This book is an informative read for experienced and novice scorecard developers alike."
Daniel Bonomo, Vice President, Retail Risk Models, Scotiabank
"This is a timely and detailed update of the original edition, since the art and science of credit scoring has developed significantly. This edition retains its appeal to users given its simple to understand language, whilst covering complex technical content. The coverage of validating generic scorecards is relevant since in many locations customized scorecards may not be feasible."
Satinder Pal Singh Ahluwalia, Micro Business Director, PT Bank Danamon Indonesia, Tbk
"In this new edition, Naeem continues to offer very practical approaches and ideas which are pertinent now more than ever to financial institutions of various sizes. Organizations will find useful tools in this book to help them improve their development, use, and understanding of credit scoring models even if they aren′t developing their own. This book is a must for every professional credit risk manager."
Sylvain Fortier, CERA, ASA, Vice President and Chief Risk Officer, UNI Financial Cooperation

Cuprins

Acknowledgments xiii Chapter 1 Introduction 1
Scorecards: General Overview 9
Notes 18
Chapter 2 Scorecard Development: The People and the Process 19
Scorecard Development Roles 21
Intelligent Scorecard Development 31
Scorecard Development and Implementation Process: Overview 31
Notes 34
Chapter 3 Designing the Infrastructure for Scorecard Development 35
Data Gathering and Organization 39
Creation of Modeling Data Sets 41
Data Mining/Scorecard Development 41
Validation/Backtesting 43
Model Implementation 43
Reporting and Analytics 44
Note 44
Chapter 4 Scorecard Development Process, Stage 1: Preliminaries and Planning 45
Create Business Plan 46
Create Project Plan 57
Why Scorecard Format? 60
Notes 61
Chapter 5 Managing the Risks of In–House Scorecard Development 63
Human Resource Risk 65
Technology and Knowledge Stagnation Risk 68
Chapter 6 Scorecard Development Process, Stage 2: Data Review and Project Parameters 73
Data Availability and Quality Review 74
Data Gathering for Definition of Project Parameters 77
Defi nition of Project Parameters 78
Segmentation 103
Methodology 116
Review of Implementation Plan 117
Notes 118
Chapter 7 Default Definition under Basel 119
Introduction 120
Default Event 121
Prediction Horizon and Default Rate 124
Validation of Default Rate and Recalibration 126
Application Scoring and Basel II 128
Summary 129
Notes 130
Chapter 8 Scorecard Development Process, Stage 3: Development Database Creation 131
Development Sample Specification 132
Sampling 140
Development Data Collection and Construction 142
Adjusting for Prior Probabilities 144
Notes 148
Chapter 9 Big Data: Emerging Technology for Today s Credit Analyst 149
The Four V s of Big Data for Credit Scoring 150
Credit Scoring and the Data Collection Process 158
Credit Scoring in the Era of Big Data 159
Ethical Considerations of Credit Scoring in the Era of Big Data 164
Conclusion 170
Notes 171
Chapter 10 Scorecard Development Process, Stage 4: Scorecard Development 173
Explore Data 175
Missing Values and Outliers 175
Correlation 178
Initial Characteristic Analysis 179
Preliminary Scorecard 200
Reject Inference 215
Final Scorecard Production 236
Choosing a Scorecard 246
Validation 258
Notes 262
Chapter 11 Scorecard Development Process, Stage 5: Scorecard Management Reports 265
Gains Table 267
Characteristic Reports 273
Chapter 12 Scorecard Development Process, Stage 6: Scorecard Implementation 275
Pre–implementation Validation 276
Strategy Development 291
Notes 318
Chapter 13 Validating Generic Vendor Scorecards 319
Introduction 320
Vendor Management Considerations 323
Vendor Model Purpose 326
Model Estimation Methodology 331
Validation Assessment 337
Vendor Model Implementation and Deployment 340
Considerations for Ongoing Monitoring 341
Ongoing Quality Assurance of the Vendor 351
Get Involved 352
Appendix: Key Considerations for Vendor Scorecard Validations 353
Notes 355
Chapter 14 Scorecard Development Process, Stage 7: Post–implementation 359
Scorecard and Portfolio Monitoring Reports 360
Reacting to Changes 377
Review 399
Notes 401
Appendix A: Common Variables Used in Credit Scoring 403
Appendix B: End–to–End Example of Scorecard Creation 411
Bibliography 417
About the Author 425
About the Contributing Authors 427
Index 429

Notă biografică

NAEEM SIDDIQI is the Director of Credit Scoring and Decisioning with SAS® Institute. He has more than twenty years of experience in credit risk management, both as a consultant and as a user at financial institutions. He played a key role in developing SAS® Credit Scoring and continues to provide worldwide support for the initiative.