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Reinventing Retail Lending Analytics - Forecasting, Stress Testing, Capital and Scoring for a World of Crises Paperback – 22 Mar 2010

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Product Description


'A more timely book could not be written - Reinventing Retail Lending Analytics walks through the various issues of retail lending and develops approaches to address the interaction between economic cycles and retail lending. The complexity of time is extensively explored: vintages, current time and maturity. The book covers complex issues such as scenario based forecasting, stress testing, volatility analysis, economic capital and portfolio optimisation, credit scoring and last, but not least, model risk. It is complemented by an enormous amount of practical as well as academic experience, current information as well as case studies. We are sure this book will contribute to the restoration of financial markets, institutions and instruments. Hence, Joe, a long-term risk expert has to be commended for his achievement in writing such a book during such challenging times.' --Daniel Rösch, Unniversität Hannover and Harald Scheule, University of Melbourne

About the Author

Joseph L. Breeden is president and chief operating officer of Strategic Analytics Inc. Joseph has spent the past 12 years designing and deploying risk management systems for retail loan portfolios. At Strategic Analytics, which he co-founded in 1999, he leads the design of advanced analytics and takes a leading role working with client institutions. He has personally experienced and created models through the 1995 Mexican peso crisis, the 1997 Asian economic crisis, the 2001 global recession, the 2003 Hong Kong SARS recession, and the 2007 US mortgage debacle. These crises have provided him with a rare perspective on crisis management and the analytics needs of executives for strategic decision-making. Joseph received separate BS degrees in mathematics and physics in 1987 from Indiana University. He earned a PhD in physics in 1991 from the University of Illinois. His thesis work involved real-world applications of chaos theory and genetic algorithms. In the mid-90s, he was a member of the Santa Fe Institute. Since 1987, he has published more than 40 articles in various journals on subjects including portfolio forecasting, economic capital, evolutionary computation, non-linear modeling, astrophysics and nuclear physics.

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Most Helpful Customer Reviews on Amazon.com (beta)

Amazon.com: HASH(0x96c8f5b8) out of 5 stars 2 reviews
5 of 5 people found the following review helpful
HASH(0x9704981c) out of 5 stars Could save you a million times the cost of the book 19 May 2010
By Melissa Peterson - Published on Amazon.com
Format: Paperback
Early responses to the financial crisis have appealed for transparency in risk modeling and a careful examination of the limitations of the models and methodology applied to forecast loan losses. In this comprehensive work Dr. Joseph Breeden has opened a window into the challenges facing retail lenders globally and draws a road map for implementing models that banks can rely on through good and bad times. Using documented case-studies and real world examples with numerous illustrations, Dr. Breeden bridges the gap between those with responsibility for creating complex credit risk models and management's need to understand on an intuitive level how to evaluate and manage risk. This book explores in detail the methodologies that contributed to the crisis and models that worked. Having had the privilege of hearing Dr. Breeden speak on this topic, I appreciate the opportunity to have his wealth of knowledge at my fingertips. This is a book that both managers and analysts should turn to again and again.
2 of 2 people found the following review helpful
HASH(0x974290f0) out of 5 stars Big price. Too big 8 April 2014
By Dmitry - Published on Amazon.com
Format: Paperback Verified Purchase
Too much words but almost nothing to be applicable in practice. I wished to find in this books something likes algorithm of application of dual-time-dynamic approach.
But by now I've just read a half of this book and I strongly hope to find more useful info in the last half.
Too much price for such a pack of sheets
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