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.
| ISBN: | 9783031525445 |
| Publication date: | 23rd April 2025 |
| Author: | Colin Chen |
| Publisher: | Springer an imprint of Springer Nature Switzerland |
| Format: | Paperback |
| Pagination: | 391 pages |
| Series: | Management for Professionals |
| Genres: |
Management and management techniques Risk assessment Financial reporting, financial statements Probability and statistics Economics, Finance, Business and Management |
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.
Practical Credit Risk and Capital Modeling, and Validation features in the following genres: Management and management techniques, Risk assessment, Financial reporting, financial statements, Probability and statistics, Economics, Finance, Business and Management
Practical Credit Risk and Capital Modeling, and Validation is available in Paperback
Practical Credit Risk and Capital Modeling, and Validation was written by Colin Chen and published by Springer an imprint of Springer Nature Switzerland
Practical Credit Risk and Capital Modeling, and Validation has 391 pages
Yes it is part of Management for Professionals series
£62.99