Scoring: Effectiveness and Validation
PRMIA Russia and the Interfax Group invite you to take part in the 4th forum of the PRMIA-Interfax Moscow Risk Managers Club, which will be devoted to modelling and model validation in credit scoring.
Discussion Topics:
Validation of the risk effectiveness of credit decision making in mass segments
How to quantify the quality of discrimination (approval) in the segments of the retail portfolio based on current statistical rate of refusal, current level of defaults, and market data. How to determine the cost effectiveness of approval and refusal levels for a bank in terms of credit risk. The talk examines several segment cases with different ratings of effectiveness, presents typical reasons for negative ratings and recommendations for their elimination.
Machine Learning Models in Risk Management
Building blocks of scoring models for different asset classes. Application of scoring in rating analysis. Approaches to modeling the temporary structure of defaults. Cash flow modeling for various asset classes.
Speakers
Mikhail Pomazanov, Head of Validation, PJSC "Promsvyazbank", Ph.D.
Vitaly Sobol, Director of the Validation Department, Expert RA JSC