Research

Impact of Local Economic Vitality on Residential Loan Portfolio Performance
Investors can incorporate local economic vitality into credit risk assessment of residential loans to improve loan selection and pricing capabilities. (Jan 2017)
The credit scoring blind spot – Macroeconomics
Credit scores do not fully reflect the impact of economic conditions on portfolio performance. (Oct 2016)
Credit scoring with an eye to the future
Improving credit scoring accuracy by using macroeconomic data. (Oct 2016)
Forecasting Consumer Confidence
Business Default Index data concerning very small businesses predicts consumer confidence. (Feb 2016)
Forecasting Consumer Spending
Business Default Index data concerning very small businesses improves prediction accuracy of small ticket and discretionary consumer spending. (Jan 2016)
Forecasting Bank Loan Portfolio Credit Quality
Incorporating Business Default Index data into a forecasting model improves prediction accuracy of loan portfolio delinquency rate and charge-offs. (Oct 2015)
Business Default Volatility
Understanding variations in business default rates across industry sectors and geographies provides an additional perspective on credit risk and a tool for pricing exposures. This note presents a new measure designed to capture variability in default rates–Business Default Volatility. (Sep 2014)
Industry Default Correlations
Understanding industry default correlations is important for obtaining an accurate portfolio risk profile and constructing diversified portfolios. This analysis is based upon 50 months of data about 18 million businesses. (April 2014)
Giving Credit Its Due – March 2014
An enhanced Credit Quality Map that represents business segments based on their current default rate and trailing twelve month (TTM) trend. (March 2014)
Giving Credit Its Due
A look at geographic and industry sector variations in credit quality. (Feb 2014)
Putting Defaults In Place
An analysis of default rates from before the Great Recession to the present. (Feb 2014)