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eBook
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Practical Credit Risk And Capital Modeling, And Validation - ENG

Cecl, Basel Capital, Ccar, And Credit Scoring With Examples

eBook

$1,800.00
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ISBN: 9783031525421
Formato: ePub
Idioma: Inglés
Editorial: Springer Nature
Tema: Negocios y economía
Subtema: Contabilidad general
Año de publicación: 2024-04-22

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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