IFRS 9 and CECL Credit Risk Modelling and Validation

Written By Tiziano Bellini
IFRS 9 and CECL Credit Risk Modelling and Validation
  • Publsiher : Academic Press
  • Release : 08 February 2019
  • ISBN : 012814940X
  • Pages : 316 pages
  • Rating : 4/5 from 21 reviews
GET THIS BOOKIFRS 9 and CECL Credit Risk Modelling and Validation


Read or download book entitled IFRS 9 and CECL Credit Risk Modelling and Validation written by Tiziano Bellini which was release on 08 February 2019, this book published by Academic Press. Available in PDF, EPUB and Kindle Format. Book excerpt: IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management. Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit products Concentrates on specific aspects of the modelling process by focusing on lifetime estimates Provides an hands-on approach to enable readers to perform model development, validation and audit of credit risk models

IFRS 9 and CECL Credit Risk Modelling and Validation

IFRS 9 and CECL Credit Risk Modelling and Validation
  • Author : Tiziano Bellini
  • Publisher : Academic Press
  • Release Date : 2019-02-08
  • Total pages : 316
  • ISBN : 012814940X
GET BOOK

Summary : IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses ...

IFRS 9 and CECL Credit Risk Modelling and Validation

IFRS 9 and CECL Credit Risk Modelling and Validation
  • Author : Tiziano Bellini
  • Publisher : Academic Press
  • Release Date : 2019-01-15
  • Total pages : 316
  • ISBN : 012814940X
GET BOOK

Summary : IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses ...

Basic Statistics for Risk Management in Banks and Financial Institutions

Basic Statistics for Risk Management in Banks and Financial Institutions
  • Author : Arindam Bandyopadhyay
  • Publisher : Oxford University Press
  • Release Date : 2022-03-08
  • Total pages : 320
  • ISBN : 012814940X
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Summary : The book provides an engaging account of theoretical, empirical, and practical aspects of various statistical methods in measuring risks of financial institutions, especially banks. In this book, the author demonstrates how banks can apply many simple but effective statistical techniques to analyze risks they face in business and safeguard themselves ...

Reverse Stress Testing in Banking

Reverse Stress Testing in Banking
  • Author : Michael Eichhorn,Tiziano Bellini,Daniel Mayenberger
  • Publisher : Walter de Gruyter GmbH & Co KG
  • Release Date : 2021-05-10
  • Total pages : 583
  • ISBN : 012814940X
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Summary : Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance ...

Deep Credit Risk Chinese

Deep Credit Risk  Chinese
  • Author : Harald Scheule,Daniel Rösch
  • Publisher : Deep Credit Risk
  • Release Date : 2021-07-22
  • Total pages : 456
  • ISBN : 012814940X
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Summary : - 了解流动性,房屋净值和许多其他关键银行业特征变量的作用; - 选择并处理变量; - 预测违约、偿付、损失率和风险敞口; - 利用危机前特征预测经济衰退和危机后果; - 理解COVID-19对信用风险带来的影响; - 将创新的抽样技术应用于模型训练和验证; - 从Logit分类器到随机森林和神经网络的深入学习; - 进行无监督聚类、主成分和贝叶斯技术的应用; - 为CECL、IFRS 9和CCAR建立多周期模型; - 建立用于在险价值和期望损失的信贷组合相关模型; - 使用更多真实的信用风险数据并运行超过1500行的代码... - Understand the role of liquidity, equity and many other key banking features - Engineer and select features - Predict defaults, payoffs, loss rates and exposures - Predict downturn and crisis outcomes using pre-crisis features ...