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Practical Credit Risk and Capital Modeling, and Validation: CECL, Basel Capital, CCAR, and Credit Scoring with Examples (Management for Professionals) - Tapa dura

Libro 337 de 339: Management for Professionals

Chen, Colin

 
9783031525414: Practical Credit Risk and Capital Modeling, and Validation: CECL, Basel Capital, CCAR, and Credit Scoring with Examples (Management for Professionals)
Tapa dura
ISBN 10: 3031525418 ISBN 13: 9783031525414
Editorial: Springer, 2024

Sinopsis

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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Acerca del autor

Colin Chen is the Founder and Director of Data Science and Analytics Consultants (Bayside, NY, USA), which focuses on data science projects from financial and media industries. He has over 15 years of experience in financial risk management having worked at JP Morgan Chase as an Executive Director of the Operational Risk Modeling Group and at Bank of America as a Director of Model Risk Management. He has also worked for Wells Fargo and Fannie Mae on credit and market risk models and for the SAS Institute as a Senior Software Developer.

De la contraportada

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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Editorial
Springer
Año de publicación
2024
Idioma
Inglés
ISBN 10 
3031525418
ISBN 13 
9783031525414
Encuadernación
Tapa dura
Número de páginas
416
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