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Forecasting & Stress Testing

Estimating Effects of Adjustable Mortgage Rate Resets. Presentation at the Credit Scoring and Credit Control XII Conference, 2011 [pdf]

Specification Errors in Stress Testing Models. International Journal of Forecasting, Aug. 2011

Best Practices in SCAP Modeling. Interthinx, 2010

Best Practices in European Stress Testing. Interthinx, 2010

Testing Retail Lending Models for Missing Cross-terms. Journal of Risk Model Validation, 2010 4(4).

Survey of Retail Loan Portfolio Stress Testing. In D. Rosch.& H. Scheule’s Stress Testing for Financial Institutions, 2009 (pp.129-158) London, UK: Risk Publications.

Stress-testing Retail Loan Portfolios with Dual-time Dynamics. Journal of Risk Model Validation, 2008 v. 2(2) (pp43-62).

A Common Framework for Stress Testing Retail Portfolios Across Countries. Journal of Risk Model Validation, 2008 2 (3) (pp11-44).

Modeling Data with Multiple Time Dimensions. Computational Statistics and Data Analysis, 2007 v. 51 (pp 4761-4785).

Validation of Stress Testing Models. In G. Christodoulakis & S. Satchell’s The Analytics of Risk Model Validation, 2007 (pp.13-26). London, UK: Academic Press.

Regulation

NCUA IRR Guidance and Interest Rate Risk. NCUA, 2011. [pdf]

Economic Capital

A Through-the-Cycle Model for Retail Lending Economic Capital. International Journal of Forecasting, 2011

Monte Carlo Scenario Generation for Retail Loan Portfolios. Journal of the Operational Research Society, 2010 61(3). (pp299-410).

Scoring

Moving from Rankings to Ratings. International Journal of Forecasting, Aug. 2011

Won’t Get Fooled Again. Front Line Magazine. Aug. 2011 [pdf]
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