Practical Credit Risk and Capital Modeling, and Validation

CECL, Basel Capital, CCAR, and Credit Scoring with Examples

By:

Colin Chen

Format:

Hardback

Series:

Management for Professionals

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Description

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.

Author Biography:

Colin Chen is the Founder and Director of Data Science and Analytics Consultants (Bayside, NY, USA), which focuses on data science projects from financial and media industries. He has over 15 years of experience in financial risk management having worked at JP Morgan Chase as an Executive Director of the Operational Risk Modeling Group and at Bank of America as a Director of Model Risk Management. He has also worked for Wells Fargo and Fannie Mae on credit and market risk models and for the SAS Institute as a Senior Software Developer.

Release date Australia

April 26th, 2024

Author

Colin Chen

Series

Management for Professionals

Pages

391

Edition

1st ed. 2024

Audience

Professional & Vocational

Illustrations

76 Illustrations, color; 41 Illustrations, black and white; XXI, 391 p. 117 illus., 76 illus. in color.

ISBN-13

9783031525414

Product ID

38505564

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