株式会社極東書店トップ ＞ 商品一覧 ＞ Practical Credit Risk and Capital Modeling, and Validation : CECL, Basel Capital, CCAR, and Credit Scoring with Examples.
商品詳細
Practical Credit Risk and Capital Modeling, and Validation : CECL, Basel Capital, CCAR, and Credit Scoring with Examples.
・ISBN 978-3-031-52541-4 hard EUR 109.99
￥29,399.- (税込) ※（※）価格はご注文時の参考価格となります。
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| 著者・編者 | Chen, Colin, |
|---|---|
| シリーズ | Management for Professionals |
| 出版社 | (Springer, GW) |
| 出版年月 | 2024.04 |
| ページ数 | 391 pp. |
| 言語 | ENG |
| ニュース番号 | ＜722-395＞ |
解説
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.