Credit Risk Modeling and Decisioning

8:00 a.m.

Registration and Continental Breakfast

8:30 a.m.

Welcome and Introduction
Carol Leisenring, Director of the Financial Institutions Center

8:40 a.m.

Session 1
Economic Variables in Risk Models
Moderator: Christopher Henderson, MBNA America Bank, N.A.

• Default Probabilities and the Econometric Environment
  Paul Calem, Robert Avery, Board of Governors of the Federal Reserve System
• Predicting Credit Score Calibrations through Economic Events
  Joseph Breeden, Strategic Analytics Inc.

10:00 a.m.

Break

10:30 a.m.

Session 2
Sample Selection: Bias and Reject Inference
Moderator: David Hand, Imperial College

• Best Practices in Reject Inferencing
  Dennis Ash, Experian & Steven Meester, The CIT Group, Inc
• Sample Selection Bias
  Jonathan Crook, University of Edinburgh, U.K.

12:15 p.m.

Buffet Lunch

1:30 p.m.

Session 3
Information Management, Modeling, and
Regulatory Framework
Moderator: Peter Burns, Federal Reserve Bank of Philadelphia

• Issues in Credit Scoring: Model Development and Validation Analysis
  Dennis Glennon, Office of the Comptroller of the Currency
• Credit Scoring and Disparate Impact
  Michael LaCour-Little, Elaine Fortowsky, Wells Fargo Home Mortgag
  background paper

2:50 p.m.

Break

3:20 p.m.

Session 4
Risk Models and Customer Management
Moderator: Mark Furletti, Federal Reserve Bank of Philadelphia

• Profitability-Based Real-Time Decisioning
  Vijay Desai, HNC Software
• Best Practices in Customer Development and Relationship Management
  Leonard Laufer & Nana Banerjee, Argus Information and Advisory Services, LLC
• Whom to Call? When to Call? What's the Objective?
  Michael Howard, Austin Logistics

6:15 p.m.

Reception

7:00 p.m.

Address
Anthony M. Santomero, President, Federal Reserve Bank of Philadelphia

• Credit Risk Modeling: The Federal Reserve Bank of Philadelphia's Perspective
  

8:30 a.m.

Continental Breakfast

9:00 a.m.

Session 5
Modeling Emerging Markets
Moderator: Joseph Mason, Drexel University

• Credit Risk Modeling of Middle Market Firms
  Linda Allen, Baruch College, City University of New York
  background paper
• Modeling Private Firm Default
  Grigoris Karakoulas, Canadian Imperial Bank of Commerce

10:20 a.m.

Break

10:50 a.m.

Session 6
What's Ahead: New Technologies &
Methodologies
Moderator: Robert Stine, The Wharton School, University of Pennsylvania

• Strategy Science: Breakthrough in Data-Guided Decision-Making
  Larry Rosenberger, Fair, Isaac & Company, Inc.
• Scorecard Construction with Unbalanced Class Sizes
  David Hand, Imperial College
  background paper
• A Perspective on Score Modeling Enhancements in the Last 10 Years
  Allen Jost, HNC Software

12:40 p.m.

Buffet Lunch & Closing