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Practical Credit Risk and Capital Modeling, and Validation

Practical Credit Risk and Capital Modeling, and Validation

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

by Colin Chen
Hardback
Publication Date: 24/05/2024

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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:
9783031525414
9783031525414
Category:
Finance & accounting
Format:
Hardback
Publication Date:
24-05-2024
Language:
English
Publisher:
Springer
Country of origin:
United States
Dimensions (mm):
235x155mm

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