Practical credit risk and capital modeling, and validation: CECL, basel capital, CCAR, and credit scoring with examples

By:

Colin Chen

Material type: Text

TextSeries: Management for ProfessionalsPublication details: Springer Cham 2024Description: xxi, 391 pISBN:

9783031525414

Subject(s):

DDC classification:

332.1 CHE

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. (https://link.springer.com/book/10.1007/978-3-031-52542-1)

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Holdings
Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Book	Indian Institute of Management LRC General Stacks	Finance & Accounting	332.1 CHE (Browse shelf(Opens below))	1	Available		007239

Table of content:
Introduction to Credit Risk and Capital Management Frameworks
Colin Chen
Pages 1-44
Credit Data and Processing
Colin Chen
Pages 45-76
Credit Modeling Techniques
Colin Chen
Pages 77-149
Allowance for Credit Loss and CECL
Colin Chen
Pages 151-201
Capital Management and Risk Weighted Asset
Colin Chen
Pages 203-253
Stress Test and CCAR
Colin Chen
Pages 255-317
Underwriting and Credit Scoring
Colin Chen
Pages 319-387
Back Matter
Pages 389-391
[https://link.springer.com/book/10.1007/978-3-031-52542-1]

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.

(https://link.springer.com/book/10.1007/978-3-031-52542-1)

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