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Practical Credit Risk and Capital Modeling, and Validation

CECL, Basel Capital, CCAR, and Credit Scoring with Examples

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  • © 2024

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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  • 1 Citation

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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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Table of contents (7 chapters)

Authors and Affiliations

  • Data Science and Analytics Consultants, Bayside, USA

    Colin Chen

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

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