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Preparing for Modeling Requirements in Basel II: Model Development :
The Basel II Capital Accord, ready for implementation around 2007, sets out detailed analytic requirements for risk assessment that will be based on data collected by banks throughout the life cycle of the loan. The purpose of Basel II is to introduce a better risk-sensitive capital framework with incentives for good risk management practices. This article, the first in a four part series, will give a managerial overview of statistical modeling - an area of analytics that is paramount to the Basel framework.

Portuguese Version (PART 1) - Credit Technologies
This series was also picked up by an international journal in Brazil called CREDIT TECHNOLOGIES - a publication translating the article in Portuguese side by side with the English version.

An Introduction to Survival Analysis in Business
As the field of credit scoring is focused on predicting 'if' an account will become delinquent over a certain span of time, Survival Analysis can tell us 'when.' Survival Analysis is called different things in different industries: event history analysis, reliability analysis, time to failure, and even duration analysis. The purpose of this article is to give an introduction to the subject with an emphasis on how it can be used in banking and finance.

Preparing for Modeling Requirements in Basel II: Stress Testing
The idea of stress testing should be of interest to banks not only because of Basel, but because developing such approaches can provide the institution with the tools necessary to better manage their capital. This article will introduce a modeling approach called 'Pooled Cross Section Time Series Analysis' that uses aggregated data to predict the impact of economic and portfolio changes on bank default losses.

Forecasting New Product Acceptance
This paper summarizes a step by step procedure for forecasting new product sales from start to finish. Topics include preliminary data analysis, data preparation, basic statistics, hypothesis testing, correlations, regression, dummy variables, transformations, interaction terms, model validation, and forecast simulation.

Modeling Complex Data with Neural Networks
This paper discusses Neural Networks as a prediction tool for probability of default (PD) and recovery (LGD) models. Points of interests include terminology, strengths, weaknesses, and what to look for in a good NN package.


Thanks for visiting the WORLD OF FORECASTING! The intent of this site is to promote an understanding of Econometrics and Multivariate Statistics in credit scoring, analytics, prospect marketing, and forecasting to the business community. Feel free to send me an email at my email address: jeffreysmorrison01@comcast.net and let me know what you think.

Author's Comments - In addition to free downloads, I am now offering professional analytic services.

These services include time series and econometric forecasting, applications in regression analysis across multiple disciplines such as credit scoring, marketing response modeling, model validation, and corporate compliance (fair lending, complaint analysis). The statistical techniques most often employed are logistic regression, weight of evidence, linear regression, cluster analysis, granger causality testing, panel data modeling, correlation analysis, histograms, outlier inspection, text mining, stratified sampling, decision trees, random forests, jackknife estimation, and bootstrapping. In support of the analyses, custom thematic maps for state, county, zip code, and U.S. census tracts can be provided upon request.

Results are communicated via Excel and PowerPoint, along with the statistical estimation code (R, SAS, Excel/VBA, STATA, EVIEWS) as needed.

My Linkedin page may be viewed here if you are interested in connecting.

I encourage the reader to use the free software and download my publications listed at the left or to go to my download sections shown below or at the toolbar menu above. Please see my Download Policy before downloading.

Item Description
Great Primer on Neural Nets Neural Net Theory
Bass Diffusion Model Bass Model Spreadsheet
Bass Example New Product Case Study
Forecasting Slides New Product Forecasting
Forecasting Terms Dictionary (250k)
Handling Missing Data Handy SAS program
Logit Graphs SAS Program (nice!)
Validating Logit Models SAS Program (nice!)
Validating and Basel Requirements Great Discussion
Tobit Models Estimation in SAS
VB6 / SAS Code Calling SAS from VB6
Logit & C.A.R.T. Hybrid Modeling (.ppt)
more... More SAS Downloads
more... More VB6 Downloads

Adventures in R!

For years much of my webpage has been SAS oriented. However, given the high cost of SAS, I have added a resource for the free open source statistical package called R. From the internet, Google Rstudio and R and download both to use the programs provided in this section. Although skeptical at first, I would now argue that R does alot of things with less code than SAS, which benefits the statistican in many ways. Moreover, you can do trees, random forests, and text mining in R for free. In SAS, you would have to pay big for these extra packages. It also does thematic mapping at the national, state, zip code and census tract level with much less code than SAS. On the other hand, SAS seems much better at econometric forecasting and handling millions of records. Having said all that, please take a look at the free R scripts I have created and I think you will be amazed at your new capabilities at zero cost! my free R scripts in this download area.

Ordinary Least Squares
Neural Nets
Hypothesis Testing
Cluster Analysis
Factor Analysis
Structural Equation Modeling
Canonical Correlation Analysis
Conjoint Analysis
Almon Lag Estimation
Pooled Cross Sectional Time Series Models
Nonlinear Regression
Probit Regression
Logistic Regression
Tobit Regression
New Product Diffusion Models
State Space Models
State Space Regression
Transfer Function Models
Vector ARIMA

Excellent Statistics Library
Great Statistical Software Links
Basel Capital Accord
American Marketing Association
Forecast Pro software
Web Logistic Regression
Institute of Business Forecasting
SHAZAM Econometrics
New Product Development Association
ARCVIEW (Spatial Mapping)
Economic Service Providers

A Daily Devotion
Count Your Blessings!
Compassion International
Probe Ministries
Hear Excellent Bible Teaching
Some Answers to tough questions
The Alpha and Omega
My Father's Near Death Experience

Lookup a word or passage in the Bible


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