Utvidet returrett til 31. januar 2025

Practical Credit Risk and Capital Modeling, and Validation

- Cecl, Basel Capital, Ccar, and Credit Scoring with Examples

Om Practical Credit Risk and Capital Modeling, and Validation

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.

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  • Språk:
  • Engelsk
  • ISBN:
  • 9783031525414
  • Bindende:
  • Hardback
  • Utgitt:
  • 23. april 2024
  • Dimensjoner:
  • 156x234x24 mm.
  • Vekt:
  • 757 g.
  • BLACK NOVEMBER
  Gratis frakt
Leveringstid: 2-4 uker
Forventet levering: 13. desember 2024

Beskrivelse av Practical Credit Risk and Capital Modeling, and Validation

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.

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