TY  - BOOK
AU  - Chen,Colin
ED  - SpringerLink (Online service)
TI  - Practical Credit Risk and Capital Modeling, and Validation: CECL, Basel Capital, CCAR, and Credit Scoring with Examples 
T2  - Management for Professionals,
SN  - 9783031525421
AV  - HD61 
PY  - 2024///
CY  - Cham
PB  - Springer Nature Switzerland, Imprint: Springer
KW  - Financial risk management
KW  - Statistics 
KW  - Financial statements
KW  - Risk Management
KW  - Statistics in Business, Management, Economics, Finance, Insurance
KW  - Financial Reporting
N1  - 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
N2  - 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
UR  - https://doi.org/10.1007/978-3-031-52542-1
ER  -