One-day Workshop (London UK)

Model Risk in Retail Credit Scoring – Statistical Issues

28 September 2012 (9am to 5pm)

Follow-up:

Presentations are available where we have permission from the authors to place them here for public access. Please follow links below:-

· Dr Dennis Glennon, Managing model risk in retail scoring (powerpoint)

· Dr Tony Bellotti, Model Risk – sources and examples (powerpoint)

· Dr Alan Forrest, Assessing model risk in practice (powerpoint)

· Dr Niall Adams, Selection bias in credit scorecard evaluation (pdf)

· Dr Christophoros Anagnostopoulos, Handling the risk of obsolete information: is there a one-size-fits-all strategy (pdf)

· Prof David J. Hand, Confusion in scorecard construction – the wrong scores for the right reasons (pdf)

Description:

The assessment and management of model risk is a pressing concern in retail credit risk modelling. Being clear about model risk allows better understanding of the uncertainties in decision making based on risk models. We look at statistical issues relating to the understanding of model risk. Particular topics will include:-

· Model misspecification.

· Model robustness over time.

· Sensitivity analysis.

· Selection bias.

· Stress testing based on risk models.

This workshop will be of value to practitioners in the retail finance sector and academics working in this area.

Speakers:

· Dr Dennis Glennon, Director of the Credit Risk Analysis Division, Office of the Comptroller of the Currency, USA

· Prof David Hand, Imperial College London and Winton Capital Management

· Prof Jonathan Crook, University of Edinburgh Business School

· Dr Christophe Mues, University of Southampton

· Dr Alan Forrest, Royal Bank of Scotland

· Dr Christoforos Anagnostopoulos, Imperial College London

· Dr Tony Bellotti, Imperial College London

Programme: Workshop_programme.pdf.

Location: Imperial College London, South Kensington campus, London SW7 2AZ, UK

Nearest tube station: South Kensington or Gloucester Road (on District, Circle and Piccadilly lines).

Registration fee: £100 (or £50 for academic staff and free for PhD students)

Registration deadline: 21 September 2012

Organiser: Tony Bellotti (a.bellotti@imperial.ac.uk)

Web site: http://www2.imperial.ac.uk/~abellott/ModelRiskWorkshop.html

This workshop is supported by the Scorex Lectureship Foundation and the Imperial College Mathematics department EPSRC Platform grant.