Practical Credit Risk and Capital Modeling, and Validation: Cecl, Basel Capital, Ccar, and Credit Scoring with Examples
暫譯: 實用信用風險與資本建模及驗證：CECL、巴塞爾資本、CCAR及信用評分範例

Chen, Colin

Practical Credit Risk and Capital Modeling, and Validation: Cecl, Basel Capital, Ccar, and Credit Scoring with Examples
  • 出版商: Springer
  • 出版日期: 2024-04-23
  • 售價: $4,470
  • 貴賓價: 9.5 折 $4,247
  • 語言: 英文
  • 頁數: 391
  • 裝訂: Hardcover - also called cloth, retail trade, or trade
  • ISBN: 3031525418
  • ISBN-13: 9783031525414
  • 相關分類: Data Science

    • 海外代購書籍(需單獨結帳)

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商品描述

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.


商品描述(中文翻譯)

本書為專業人士和實務工作者提供了一本全面的指南，涵蓋信用風險建模、資本建模及當前預期信用損失（Current Expected Credit Loss, CECL）、國際財務報導準則第9號（International Financial Reporting Standard 9, IFRS9）、巴塞爾資本及綜合資本分析與審查（Comprehensive Capital Analysis and Review, CCAR）程序的驗證。書中描述了大型銀行如何進行信用風險建模、資本建模及驗證，並提供了程式碼和範例。本書介紹了創新的概念，例如用於競爭風險框架的二元邏輯近似（Binary Logit Approximation, BLA）；用於自動建模的自適應與全面變數選擇（Adaptive and Exhaustive Variable Selection, AEVS）；用於無偏抽樣的全觀察分層抽樣（Full Observation Stratified Sampling, FOSS）；以及用於公平貸款文本的禁止相關指數（Prohibited Correlation Index, PCI）。此外，本書還包含一章關於信用承保和評分，針對信用承保風險提出了一些創新。這是一本對於風險管理領域的專業人士、實務工作者及研究生來說非常有價值的指南。

作者簡介

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.

作者簡介(中文翻譯)

陳冠霖是數據科學與分析顧問公司的創辦人及主管（美國紐約灣區），該公司專注於金融和媒體行業的數據科學專案。他在金融風險管理方面擁有超過15年的經驗，曾在摩根大通擔任操作風險建模小組的執行董事，並在美國銀行擔任模型風險管理的主管。他還曾在富國銀行和房利美從事信用和市場風險模型的工作，並在SAS研究所擔任高級軟體開發人員。

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