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Practical Credit Risk and Capital Modeling, and Validation

By Colin Chen

Product Image: Practical Credit Risk and Capital Modeling, and Validation

Practical Credit Risk and Capital Modeling, and Validation

By Colin Chen

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Description
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.
Product details
Binding:
Paperback
Number of Pages:
416
Release Date:
2025-04-23
Publication Date:
2025-04-23
Publisher:
Springer
Languages:
Original: English
ISBN10:
3031525442
ISBN13:
9783031525445
GPSR Manufacturer Reference:
[email protected]
Weight:
628 g
Height:
155 cm
Width:
235 cm
Thickness:
23 cm
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