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 ...

Deep Credit Risk

Deep Credit Risk
  • Author : Harald Scheule,Daniel Rösch
  • Publisher : Unknown
  • Release Date : 2020-06-24
  • Total pages : 466
  • ISBN : 012814940X
GET BOOK

Summary : Deep Credit Risk - Machine Learning in Python aims at starters and pros alike to enable you to: - 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- ...

Intelligent Credit Scoring

Intelligent Credit Scoring
  • Author : Naeem Siddiqi
  • Publisher : John Wiley & Sons
  • Release Date : 2017-01-10
  • Total pages : 464
  • ISBN : 012814940X
GET BOOK

Summary : A better development and implementation framework for credit risk scorecards Intelligent Credit Scoring presents a business-oriented process for the development and implementation of risk prediction scorecards. The credit scorecard is a powerful tool for measuring the risk of individual borrowers, gauging overall risk exposure and developing analytically driven, risk-adjusted strategies ...

Expected Credit Loss Modeling from a Top Down Stress Testing Perspective

Expected Credit Loss Modeling from a Top Down Stress Testing Perspective
  • Author : Mr.Marco Gross,Dimitrios Laliotis,Mindaugas Leika,Pavel Lukyantsau
  • Publisher : International Monetary Fund
  • Release Date : 2020-07-03
  • Total pages : 47
  • ISBN : 012814940X
GET BOOK

Summary : The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for institutions wishing to include accounting-based approaches for credit risk modeling in top-down stress tests....