Wharton Financial Institutions Center
Modeling Retail Credit Risk After the Sub-Prime Crisis
A Wharton Impact Conference
Organized by Robert Stine, Professor of Statistics,

June 11, 2009

Introduction:
Robert Stine, Professor of Statistics
The Wharton School, University of Pennsylvania
Dinner Speaker:
“Credit Score Migration and Shifts During the Economic Downturn”
Charles Chung, Senior Vice President and General Manager, Decision Science
Experian

June 12, 2009

Welcoming Remarks
Carol A. Leisenring,Co-Director
Wharton Financial Institutions Center,
The Wharton School, University of Pennsylvania

How Did Models of Retail Risk (Card, Mortgage, Other) Fare?

Moderator:
Robert Stine, Professor of Statistics
The Wharton School, University of Pennsylvania
Panelists:
Jonathan Crook, Professor in Business Economics and Director of the Credit Research Centre
The School of Management, University of Edinburgh
Christopher Henderson, Retail Risk Officer
Federal Reserve Bank of Philadelphia
Ron Cathcart, Former Executive Vice President and Chief Risk Officer
Washington Mutual


Modeling the Consumer Balance Sheet
Moderator:
Michael Zeltkevic, Partner
Oliver Wyman
Panelists:
Nicholas Souleles, Professor of Finance
The Wharton School, University of Pennsylvania
Douglas McManus, Director of Financial Research
Freddie Mac
William Lang, Senior Vice President/Chief Examinations Officer
Federal Reserve Bank of Philadelphia

Looking Ahead: New Sources of Data?
Moderator:
Nicholas Souleles, Professor of Finance
The Wharton School, University of Pennsylvania
* For an early example of incorporating macro variables into a default model, see:
An Empirical Analysis of Personal Bankruptcy and Delinquency,"  Review of Financial Studies, 15(1), Spring, 2002.
 * For a recent example of incorporating balance sheet and relationship information variables into a default model, see:
"Benefits of Relationship Banking: Evidence from Consumer Credit Markets"
* For other examples of research on default models and consumer credit more generally, see Prof. Souleles's webpage

Panelists:
Joseph Mason, Hermann Moyse, Jr./Louisiana Bankers Association Endowed Professor of Banking
Louisiana State University
C. Erik Larson, Director
Promontory Financial Group
Steven Seoane, Vice President of Analytics
LexisNexis

Looking Ahead: Techniques, Validation, Testing?
Moderator:
Piyush Tantia, Partner
Oliver Wyman
Panelists:
Nicholas Kiefer, Ta-Chung Liu Professor
Cornell University
Dennis Glennon, Deputy Director, Credit Risk Modeling
Office of the Comptroller of the Currency
Chuck Robida, Chief Scientist
Experian Decision Sciences