Conference Papers

Incorporating lifecycle and environment in loan-level forecasts and stress tests

Presenter(s): Joseph L. Breeden

Year of presentation: 2013

Affiliate institution: Prescient Models

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Conference Papers

Are we just tinkering?

Presenter(s): Alan Lucas; Vijay Krishnaswamy

Year of presentation: 2013

Affiliate institution: Avenir Risk Ltd; Hymans Robertson LLP

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Conference Papers

Studying the effect of monetary and fiscal policy on bank’s non-performing loans (a case study in Middle East countries)

Presenter(s): Eaman Noorbakhsh; Hadi Heidari

Year of presentation: 2013

Affiliate institution: Karafarin Bank; Monetary and Banking Research Institute of the Central Bank of Iran

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Conference Papers

Model misspecification risk in stress testing

Presenter(s): Mark Somers; Sameer Patel

Year of presentation: 2013

Affiliate institution: 4Most (Europe) Ltd

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Conference Papers

Modelling the collections policy

Presenter(s): Mee Chi So; Adiel T. De Almeida Filho; Christophe Mues; Lyn Thomas

Year of presentation: 2013

Affiliate institution: University of Southampton; Federal University of Pernambuco

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Conference Papers

The spatial correlation of credit risk and its gain in credit scoring models

Presenter(s): Guilherme Barreto Fernandes; Prof Rinaldo Artes

Year of presentation: 2013

Affiliate institution: Insper; Serasa Experian

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Conference Papers

Forecasting non-performing loan ratio in Turkey using Box-Jenkins approach

Presenter(s): Metin Vatansever

Year of presentation: 2013

Affiliate institution: Yildiz Technical University

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Conference Papers

A stochastic Markov model for predicting cash recoveries on a defaulted retail bank portfolio

Presenter(s): David Brown

Year of presentation: 2013

Affiliate institution: Hyman Robertson LLP

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Conference Papers

A mean-reverting model to create macroeconomic scenarios for credit risk models

Presenter(s): Joseph L. Breeden

Year of presentation: 2013

Affiliate institution: Prescient Models

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Conference Papers

Lessons from automatic modelling processes

Presenter(s): Kelly Gao; Andrew Jennings

Year of presentation: 2013

Affiliate institution: FICO

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