Practical Credit Risk and Capital Modeling, and Validation
Colin Chen
Gebundenes Buch

Practical Credit Risk and Capital Modeling, and Validation

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

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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...