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Practical Credit Risk and Capital Modeling, and Validation

Name: Practical Credit Risk and Capital Modeling, and Validation
Brand: Springer
SKU: 45859620
Price: 93.56 EUR
Availability: InStock
Author: Colin Chen
ISBN: 9783031525421

CECL, Basel Capital, CCAR, and Credit Scoring with Examples

Colin Chen

Língua

Inglês

E-book Adobe ePub DRM

Editoras Springer, abril 2024

This book provides professionals and practitioners with a comprehensive guide on credit risk modelin... Descrição completa

Código Libristo: 45859620

228 b

93.56 €

Em stock Imediatamente descarregável

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This book provides professionals and practitioners with a comprehensive guide on credit risk modeling, capital modeling, and validation for Current Expected Credit Loss (CECL), International Financial Reporting Standard 9 (IFRS9), Basel Capital and Comprehensive Capital Analysis and Review (CCAR) procedures. It describes how credit risk modeling, capital modeling, and validation are done in big banks with code and examples. The book features innovative concepts such as Binary Logit Approximation (BLA) for Competing Risk Framework; Adaptive and Exhaustive Variable Selection (AEVS) for automatic modeling; Full Observation Stratified Sampling (FOSS) for unbiased sampling; and Prohibited Correlation Index (PCI) for Fair Lending Texts. It also features a chapter on credit underwriting and scoring, addressing the credit underwriting risk with some innovations. It is a valuable guide for professionals, practitioners and graduate students in risk management.