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Practical Credit Risk and Capital Modeling, and Validation

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

Colin Chen

PDF
ca. 96,29 €
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Springer Nature Switzerland img Link Publisher

Sozialwissenschaften, Recht, Wirtschaft / Betriebswirtschaft

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.


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Schlagwörter

Credit Underwriting and Scoring, Comprehensive Capital Analysis and Review (CCAR), Capital Management, Internal Financial Report Standards 9 (IFRS9), Basel Capital, Credit Scoring, Regulatory Capital, Stress Testing, Adaptive and Exhaustive Variable Selection (AEVS), Credit Model, Prohibited Correlation Index (PCI), Stress Scenario, Binary Logit Approximation (BLA), Full Observation Stratified Sampling (FOSS), Economic Capital, Current Expected Credit Loss (CECL), Model Validation, ACL, Credit Risk, Scorecards