Credit scoring, retail porfolio credit risk and decision making

信用评分（CS）是经过统计校准和经验验证的预测模型，用于评估向个人或企业提供信贷的风险。CS模型是北美所有主要金融机构所依赖的。我开发了一个CS模型来评估向新成立的企业提供贷款的风险。这一模式目前已被几家大银行采用。该知识产权（IP）已出售给一家拥有四名员工的加拿大企业。我还开发了一个评分模型，用于预测早期基于ip的想法商业化的可能性。该知识产权正在发展成为一项商业服务，供技术转让办公室、风险资本家等使用，并正在进行beta测试。我还进行了关于在缺少数据时估计CS模型的方法改进的研究。未来的研究将为非传统应用开发新的评分模型，例如对特许经营商和寻求风险投资的企业家进行评估。还将研究创新领域的专家（如风险资本家）如何在没有评分模型的情况下做出决策，以及评分模型如何提高专家的决策准确性。最后一个研究领域涉及零售信贷投资组合的投资组合风险估计。新规（巴塞尔协议II）正迫使银行评估零售信贷组合的投资组合风险。但目前还没有经过充分研究的模型。我的贡献在于研究将针对商业风险开发的简化模型，经过适当修改，应用于零售信贷组合的可能性。

Credit scoring (CS) represents statistically calibrated and empirically validated prediction models to assess the risk of providing credit to a person or a business. CS models are relied on by all major financial institutions in North America. I have developed a CS model to assess the risk of lending to newly started businesses. This model is now in use by several major banks. The Intellectual Property (IP) has been sold to a Canadian business with four employees.  I also developed a scoring model that predicts the probability of commercialization for early stage IP-based ideas. The IP is being developed into a business service for use by Technology Transfer Offices, Venture Capitalists and alike and is in beta tests. I have also conducted research on methodological improvements for estimating CS models when there are missing data. Future research will develop new scoring models for non-traditional applications such as the assessment of franchisees and entrepreneurs seeking venture capital. Work will also be conducted on how experts in the innovation domain (e.g. Venture Capitalists) make decisions in the absence of scoring models and how scoring models may improve on experts' decision making accuracy. A final area of research concerns estimation of portfolio risk for retail credit portfolios. Banks are becoming forced by new regulation (Basle II) to estimate portfolio risk for retail credit portfolios. But there are no well researched models currently available. My contribution will lie in researching the possibility of applying, with suitable modifications, reduced-form models developed for commercial risk to retail credit portfolios.