Cover -- Title Page -- Copyright -- Contents -- Acknowledgments -- Chapter 1 Introduction -- Scorecards: General Overview -- Notes -- Chapter 2 Scorecard Development: The People and the Process -- Scorecard Development Roles -- Scorecard Developer -- Data Scientist -- Product or Portfolio Risk Manager/Credit Scoring Manager -- Product Manager(s) -- Operational Manager(s) -- Model Validation/Vetting Staff -- Project Manager -- IT/IS Managers -- Enterprise Risk/Corporate Risk Management Staff (Where Applicable) -- Legal Staff/Compliance Manager -- Intelligent Scorecard Development -- Scorecard Development and Implementation Process: Overview -- Notes -- Chapter 3 Designing the Infrastructure for Scorecard Development -- Data Gathering and Organization -- Creation of Modeling Data Sets -- Data Mining/Scorecard Development -- Validation/Backtesting -- Model Implementation -- Reporting and Analytics -- Note -- Chapter 4 Scorecard Development Process, Stage 1: Preliminaries and Planning -- Create Business Plan -- Identify Organizational Objectives and Scorecard Role -- Internal versus External Development and Scorecard Type -- Create Project Plan -- Identify Project Risks -- Identify Project Team -- Why "Scorecard" Format? -- Notes -- Chapter 5 Managing the Risks of In-House Scorecard Development -- Human Resource Risk -- Technology and Knowledge Stagnation Risk -- Chapter 6 Scorecard Development Process, Stage 2: Data Review and Project Parameters -- Data Availability and Quality Review -- Data Gathering for Definition of Project Parameters -- Definition of Project Parameters -- Exclusions -- Performance and Sample Windows and Bad Definition -- Effects of Seasonality -- Definition of Bad -- Dealing with Low-Default Portfolios -- Confirming the Bad Definition -- Good and Indeterminate -- Segmentation -- Experience-Based (Heuristic) Segmentation
Statistically Based Segmentation -- Comparing Improvement -- Choosing Segments -- Methodology -- Review of Implementation Plan -- Notes -- Chapter 7 Default Definition under Basel -- Introduction -- Default Event -- Prediction Horizon and Default Rate -- Validation of Default Rate and Recalibration -- Application Scoring and Basel II -- Summary -- Notes -- Chapter 8 Scorecard Development Process, Stage 3: Development Database Creation -- Development Sample Specification -- Selection of Characteristics -- Sampling -- Development/Validation -- Good/Bad/Reject -- Development Data Collection and Construction -- Random and Representative -- Nonsegmented Data Set -- Data Quirks -- Adjusting for Prior Probabilities -- Offset Method -- Sampling Weights -- Notes -- Chapter 9 Big Data: Emerging Technology for Today's Credit Analyst -- The Four V's of Big Data for Credit Scoring -- Volume -- Velocity -- Variety -- Value -- Credit Scoring and the Data Collection Process -- Credit Scoring in the Era of Big Data -- The Promise of Big Data for Banks -- Population versus Sample in the World of Big Data -- Ethical Considerations of Credit Scoring in the Era of Big Data -- The Rise of "Big Brother" Issues When Using Big Data -- Conclusion -- Notes -- Chapter 10 Scorecard Development Process, Stage 4: Scorecard Development -- Explore Data -- Missing Values and Outliers -- Correlation -- Initial Characteristic Analysis -- Statistical Measures -- Logical Trend -- Business/Operational Considerations -- Preliminary Scorecard -- Risk Profile Concept -- Logistic Regression -- Designing a Scorecard -- Reject Inference -- Reasons for Reject Inference -- Reject Inference Techniques -- Verification -- Final Scorecard Production -- Scaling -- Points Allocation -- Choosing a Scorecard -- Misclassification -- Scorecard Strength -- Validation -- Notes
Chapter 11 Scorecard Development Process, Stage 5: Scorecard Management Reports -- Gains Table -- Characteristic Reports -- Chapter 12 Scorecard Development Process, Stage 6: Scorecard Implementation -- Pre-implementation Validation -- System Stability Report -- Characteristic Analysis Report -- What if the Scorecard Does Not Validate? -- Strategy Development -- General Considerations -- Scoring Strategy -- Setting Cutoffs -- Strategy Development Communication -- Risk-Adjusted Actions -- Policy Rules -- Overrides -- Notes -- Chapter 13 Validating Generic Vendor Scorecards -- Introduction -- Vendor Management Considerations -- Vendor Model Purpose -- Target Population -- Target Definition -- Sample Selection -- Model Estimation Methodology -- Transparency of Vendor Model Estimation -- Factor Selection -- Validation Assessment -- Vendor Model Implementation and Deployment -- Considerations for Ongoing Monitoring -- Examples of Vendor Disclosure Challenges -- Monitoring in Conjunction with Another Score -- Ongoing Quality Assurance of the Vendor -- Get Involved -- Appendix: Key Considerations for Vendor Scorecard Validations -- Notes -- Chapter 14 Scorecard Development Process, Stage 7: Post-implementation -- Scorecard and Portfolio Monitoring Reports -- Credit Application Analysis Reports -- Reacting to Changes -- Portfolio Performance Reports -- Review -- Notes -- Appendix A: Common Variables Used in Credit Scoring -- Appendix B: End-to-End Example of Scorecard Creation -- Bibliography -- About the Author -- About the Contributing Authors -- Index -- EULA