Overview
- 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
Part of the book series: Management for Professionals (MANAGPROF)
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About this book
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.
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Keywords
- Credit Model
- Adaptive and Exhaustive Variable Selection (AEVS)
- ACL
- Credit Risk
- Model Validation
- Current Expected Credit Loss (CECL)
- Credit Underwriting and Scoring
- Internal Financial Report Standards 9 (IFRS9)
- Regulatory Capital
- Economic Capital
- Stress Testing
- Stress Scenario
- Comprehensive Capital Analysis and Review (CCAR)
- Capital Management
- Credit Scoring
- Scorecards
- Basel Capital
- Binary Logit Approximation (BLA)
- Full Observation Stratified Sampling (FOSS)
- Prohibited Correlation Index (PCI)
Table of contents (7 chapters)
Authors and Affiliations
About the author
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.
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Bibliographic Information
Book Title: Practical Credit Risk and Capital Modeling, and Validation
Book Subtitle: CECL, Basel Capital, CCAR, and Credit Scoring with Examples
Authors: Colin Chen
Series Title: Management for Professionals
DOI: https://doi.org/10.1007/978-3-031-52542-1
Publisher: Springer Cham
eBook Packages: Business and Management, Business and Management (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2024
Hardcover ISBN: 978-3-031-52541-4Published: 23 April 2024
Softcover ISBN: 978-3-031-52544-5Published: 23 April 2025
eBook ISBN: 978-3-031-52542-1Published: 22 April 2024
Series ISSN: 2192-8096
Series E-ISSN: 2192-810X
Edition Number: 1
Number of Pages: XXI, 391
Number of Illustrations: 41 b/w illustrations, 76 illustrations in colour
Topics: Risk Management, Statistics for Business, Management, Economics, Finance, Insurance, Accounting/Auditing