One-day Workshop on Model Risk in Retail Credit Scoring – Statistical Issues
28 September 2012 (9am to 5pm)
The assessment and management of model risk is a pressing concern in retail credit risk modelling. Being clear about model risk allows better understanding of the uncertainties in decision making based on risk models. We look at statistical issues relating to the understanding of model risk. Particular topics will include:-
- Model misspecification.
- Model robustness over time.
- Sensitivity analysis.
- Selection bias.
- Stress testing based on risk models.
This workshop will be of value to practitioners in the retail finance sector and academics working in this area.
Speakers:
- Dr Dennis Glennon, Director of the Credit Risk Analysis Division, Office of the Comptroller of the Currency, USA
- Prof David Hand, Imperial College London and Winton Capital Management
- Prof Jonathan Crook, University of Edinburgh Business School
- Dr Christophe Mues, University of Southampton
- Dr Alan Forrest, Royal Bank of Scotland
- Dr Christoforos Anagnostopoulos, Imperial College London
- Dr Tony Bellotti, Imperial College London
Location: Imperial College London, South Kensington campus SW7 2AZ
Nearest tube station: South Kensington or Gloucester Road (on District, Circle and Piccadilly lines).
Registration fee: £100 (or £50 for academic staff and free for PhD students)
Registration deadline: 21 September 2012
Organiser: Tony Bellotti (a.bellotti@imperial.ac.uk)
Web site: http://www2.imperial.ac.uk/~abellott/ModelRiskWorkshop.html
This workshop is supported by the Scorex Lectureship Foundation and the Imperial College Mathematics department EPSRC Platform grant.