Articles liés à 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 - Couverture rigide

Livre 337 sur 339: Management for Professionals

Chen, Colin

 
9783031525414: Practical Credit Risk and Capital Modeling, and Validation: Cecl, Basel Capital, Ccar, and Credit Scoring With Examples
Couverture rigide
ISBN 10 : 3031525418 ISBN 13 : 9783031525414
Editeur : Springer International Publishing AG, 2024

Synopsis

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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À propos de l'auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer International Publishing AG
Date d'édition
2024
Langue
anglais
ISBN 10 
3031525418
ISBN 13 
9783031525414
Reliure
Relié
Numéro d'édition
1
Nombre de pages
412
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