000 02206nam a22002177a 4500
005 20250113204238.0
008 250113b |||||||| |||| 00| 0 eng d
020 _a9783031525414
082 _a332.1
_bCHE
100 _aColin Chen
_919589
245 _aPractical credit risk and capital modeling, and validation:
_bCECL, basel capital, CCAR, and credit scoring with examples
260 _bSpringer
_aCham
_c2024
300 _axxi, 391 p.
365 _aEUR
_b99.99
490 _aManagement for Professionals
500 _aTable 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]
520 _aThis 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)
650 _aFinancial risk management
650 _aCredit Management
942 _cBK
_2ddc
999 _c8484
_d8484