Thomas advocates for regime-switching scorecards – a different model for expansion vs. recession. Implement via hidden Markov models or regime-aware calibration.
Do not use one model for everything. Thomas demonstrated that dynamic programming over the customer lifecycle increases risk-adjusted return by 15–25%. credit scoring and its applications by l c thomas hot
Authors: Lyn C. Thomas, David B. Edelman, Jonathan N. Crook Subject: Quantitative Methods for Credit Risk Management David B. Edelman
The 2nd edition adds crucial contemporary topics: credit scoring and its applications by l c thomas hot