Redesigning Credit Risk Modeling to Achieve Profit and Volatility Targets

Why does performance by bureau score change so radially through the credit cycle? Why do we have cut-off scores? Why do machine learning models degrade so fast when deployed, and do they need to? What is the real purpose of alternate data? What are the true dimensions of borrower behavior that we need to understand? Why isn't forecast uncertainty included in underwriting? Why do applications of Modern Portfolio Theory fail for loan portfolios? These questions and many more are answered in t...