CECL, Basel Capital, CCAR, and Credit Scoring with Examples Chen, Colin. creator author. aut http://id.loc.gov/vocabulary/relators/aut SpringerLink (Online service) text sz 2024 1st ed. 2024. monographic eng

electronic

electronic resource

access XXI, 391 p. 117 illus., 76 illus. in color. online resource. 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. Introduction to Credit Risk and Capital Management Frameworks -- Credit Data and Processing -- Credit Modeling Techniques -- Allowance for Credit Loss and CECL -- Capital Management and Risk Weighted Asset -- Stress Test and CCAR -- Underwriting and Credit Scoring. by Colin Chen. Financial risk management Statistics  Financial statements Risk Management Statistics in Business, Management, Economics, Finance, Insurance Financial Reporting HD61 9783031525421 https://doi.org/10.1007/978-3-031-52542-1 https://doi.org/10.1007/978-3-031-52542-1 240422 20251030112002.0 978-3-031-52542-1