Practical credit risk and capital modeling, and validation: CECL, basel capital, CCAR, and credit scoring with examples
- Cham Springer 2024
- xxi, 391 p.
- Management for Professionals .
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.