Practical Credit Risk and Capital Modeling, and Validation

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

Omschrijving

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.
Gratis verzending vanaf
€ 19,95 binnen Nederland
Schrijver
Chen, Colin
Titel
Practical Credit Risk and Capital Modeling, and Validation
Uitgever
Springer International Publishing AG
Jaar
2024
Taal
Engels
Pagina's
416
Gewicht
716 gr
EAN
9783031525414
Afmetingen
239 x 163 x 28 mm
Bindwijze
Hardback

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