Practical Credit Risk and Capital Modeling, and Validation
CECL, Basel Capital, CCAR, and Credit Scoring with Examples
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Beschreibung
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.
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.
Offers a guide on credit risk and capital modeling and validation for CECL, IFRS9, Basel Capital and CCAR Features innovative and real-world techniques and practices with code and examples Includes techniques such as BLA, AEVS, FOSS, and PCI
Autor*in
Colin Chen
Themen in »Practical Credit Risk and Capital Modeling, and Validation«
Credit Model Adaptive and Exhaustive Variable Selection (AEVS) ACL Credit Risk Model Validation Current Expected Credit Loss (CECL) Credit Underwriting and Scoring Internal Financial Report Standards 9 (IFRS9) Regulatory Capital Economic Capital Stress Testing Stress Scenario Comprehensive Capital Analysis and Review (CCAR) Capital Management Credit Scoring