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Practical Credit Risk and Capital Modeling, and Validation CECL, Basel Capital, CCAR, and Credit Scoring with Examples
Author
Title
Practical Credit Risk and Capital Modeling, and Validation [electronic resource] : CECL, Basel Capital, CCAR, and Credit Scoring with Examples / by Colin Chen.
ISBN
9783031525421
Edition
1st ed. 2024.
Publication
Cham : Springer Nature Switzerland : Imprint: Springer, 2024.
Physical Description
1 online resource (XXI, 391 p.) 117 illus., 76 illus. in color.
Local Notes
Access is available to the Yale community.
Access and use
Access restricted by licensing agreement.
Summary
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.
Variant and related titles
Springer ENIN.
Other formats
Printed edition:
Printed edition:
Printed edition:
Format
Books / Online
Language
English
Added to Catalog
May 08, 2024
Series
Management for Professionals,
Contents
Introduction to Credit Risk and Capital Management Frameworks
Credit Data and Processing
Credit Modeling Techniques
Allowance for Credit Loss and CECL
Capital Management and Risk Weighted Asset
Stress Test and CCAR
Underwriting and Credit Scoring.
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