IFRS 9 and CECL Credit Risk Modelling and Validation : A Practical Guide with Examples Worked in R and SAS

Bellini, Tiziano

Academic Press Inc（2019/01発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 316 p.
• 言語 ENG
• 商品コード 9780128149409
• DDC分類 332.3

Full Description

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.

Contents

1. Introduction to Expected Credit Loss Modelling and Validation2. One-Year PDs3. Lifetime PDs 14. LGD Modelling5. Prepayments, Competing Risks and EAD Modelling6. Scenario Analysis and Expected Credit Losses