Presenter Information/ Coauthors Information

Gerald FahnerFollow

Presentation Type

Event

Student

No

Track

Finance/Insurance Application

Abstract

FICO® Scores assess default likelihood under “normal” conditions. Additional risk emanates from economic variability and manifests itself in changes to the score distribution as well as changes to the Odds-to-Score relationship. In this session we will examine credit bureau data from the Great Recession in the United States as compared to a stable economic period. We’ll share a framework that provides new and actionable insights into consumers’ sensitivities to such economic fluctuations such as:

  • Application of counterfactual analysis, machine learning, and scorecards, to rank-order consumers’ sensitivities

  • Consumer segmentation by economic sensitivities

  • Sensitivity profiling reveals interesting differences between the most and the least sensitive consumers

  • How you can put “economic shock absorbers” under your lending strategies

  • Improving the accuracy of portfolio simulations under varying economic conditions

Start Date

5-2-2019 10:00 AM

End Date

5-2-2019 10:50 AM

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Risk Analysis Commons

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Feb 5th, 10:00 AM Feb 5th, 10:50 AM

FICO® Scores Through the Economic Cycle and Understanding Consumer Sensitivities to Economic Fluctuations

Dakota Room 250 A/C

FICO® Scores assess default likelihood under “normal” conditions. Additional risk emanates from economic variability and manifests itself in changes to the score distribution as well as changes to the Odds-to-Score relationship. In this session we will examine credit bureau data from the Great Recession in the United States as compared to a stable economic period. We’ll share a framework that provides new and actionable insights into consumers’ sensitivities to such economic fluctuations such as:

  • Application of counterfactual analysis, machine learning, and scorecards, to rank-order consumers’ sensitivities

  • Consumer segmentation by economic sensitivities

  • Sensitivity profiling reveals interesting differences between the most and the least sensitive consumers

  • How you can put “economic shock absorbers” under your lending strategies

  • Improving the accuracy of portfolio simulations under varying economic conditions