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Practical credit risk and capital modeling, and validation = CECL, Basel capital, CCAR, and credit scoring with examples /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Practical credit risk and capital modeling, and validation/ by Colin Chen.
Reminder of title:	CECL, Basel capital, CCAR, and credit scoring with examples /
Author:	Chen, Colin.
Published:	Cham :Springer Nature Switzerland : : 2024.,
Description:	xxi, 391 p. :ill. (some col.), digital ;24 cm.
[NT 15003449]:	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.
Contained By:	Springer Nature eBook
Subject:	Credit - Management. -
Online resource:	https://doi.org/10.1007/978-3-031-52542-1
ISBN:	9783031525421

Practical credit risk and capital modeling, and validation = CECL, Basel capital, CCAR, and credit scoring with examples /
Chen, Colin.

Practical credit risk and capital modeling, and validationCECL, Basel capital, CCAR, and credit scoring with examples /[electronic resource] :by Colin Chen. - Cham :Springer Nature Switzerland :2024. - xxi, 391 p. :ill. (some col.), digital ;24 cm. - Management for professionals,2192-810X. - Management for professionals..

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.

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.

ISBN: 9783031525421

Standard No.: 10.1007/978-3-031-52542-1doiSubjects--Topical Terms:

648574
Credit
--Management.

LC Class. No.: HG3701

Dewey Class. No.: 332.7

Practical credit risk and capital modeling, and validation = CECL, Basel capital, CCAR, and credit scoring with examples /
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245 1 0 $a Practical credit risk and capital modeling, and validation $h [electronic resource] : $b CECL, Basel capital, CCAR, and credit scoring with examples / $c by Colin Chen.
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300 $a xxi, 391 p. : $b ill. (some col.), digital ; $c 24 cm.
490 1 $a Management for professionals, $x 2192-810X
505 0 $a 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.
520 $a 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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