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Practical Credit Risk and Capital Modeling, Validation: CECL, Basel Capital, CCAR, Scoring with Examples
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Barnes and Noble
Practical Credit Risk and Capital Modeling, Validation: CECL, Basel Capital, CCAR, Scoring with Examples
Current price: $109.99
Barnes and Noble
Practical Credit Risk and Capital Modeling, Validation: CECL, Basel Capital, CCAR, Scoring with Examples
Current price: $109.99
Loading Inventory...
Size: Hardcover
*Product Information may vary - to confirm product availability, pricing, and additional information please contact Barnes and Noble
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.