Target group
Credit risk/scoring managers and data miners; those involved in model vetting/validation and auditing; risk strategy developers; and credit risk executives
Course structure
Introduction to Credit Risk
- risk management areas
- terminology
- applications of credit scoring in various industries
Preliminaries and Planning
- create business plan: identify organizational objectives; and internal vs. external development, and scorecard type
- create project plan: identify project risks and Identify project team
Data Review and Project Parameters
- data availability and quality review
- data gathering for definition of project parameters
- definition of project parameters: performance window and sample window, performance categories definition, and exclusions
- segmentation
Development Database Creation
- development sample specifications
- development data collection and construction
- adjusting for prior probabilities/factoring
Model Development
- missing values and outliers
- initial characteristic analysis (binning): statistical measures and logical trend
- building a preliminary scorecard using logistic regression
- reject inference
- final scorecard production: scaling, misclassification, and scorecard strength measures
- validation
Scorecard Management Reports
- gains tables
- characteristic reports
Pre-Implementation
- pre-implementation validation: scoring accuracy and front end validation
Strategy Development
- strategy development considerations
- scoring strategies
- setting cutoffs
- strategy actions
- policy rules
- overrides
Post-Implementation
- review/postmortem
- reporting: system stability, characteristic, override, final score, delinquency, and vintage
