Practical Credit Risk and Capital Modeling, and Validation

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.

Offers a guide on credit risk and capital modeling and validation for CECL, IFRS9, Basel Capital and CCAR Features innovative and real-world techniques and practices with code and examples Includes techniques such as BLA, AEVS, FOSS, and PCI

Autorentext
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.

Inhalt

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.