"Credit Risk Modeling and Decisioning"

A Conference Sponsored by The Wharton Financial Institutions Center and The Payment Cards Center, Federal Reserve Bank of Philadelphia

with the Business and Economics Section of the American Statistical Association

Wednesday, May 29

8:00-8:30	Registration and Continental Breakfast
8:30-8:40	Welcome and Introduction Carol Leisenring, Director of the Financial Institutions Center
8:40-10:00	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.
10:00-10:30	Break
10:30-12:15	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.
12:15-1:30	Buffet Lunch
1:30-2:50	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 Mortgage >>> background paper
2:50-3:20	Break
3:20-5:00	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
6:15-7:00	Reception
7:00-7:30	Address Credit Risk Modeling: The Federal Reserve Bank of Philadelphia's Perspective Anthony M. Santomero, President, Federal Reserve Bank of Philadelphia
Thursday, May 30
8:30-9:00	Continental Breakfast
9:00-10:20	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
10:20-10:50	Break
10:50-12:40	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
12:40-1:30	Buffet Lunch & Closing