IFRS 9 and CECL Credit Risk Modelling and Validation

A Practical Guide with Examples Worked in R and SAS
Erscheinungsjahr 2019
ISBN: 978-0-12-814940-9
Verlag: Elsevier Science Publishing Co Inc

Buch, Englisch, 316 Seiten, Format (B × H): 189 mm x 233 mm, Gewicht: 664 g

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.

Zielgruppe

<p>Upper-division undergraduates, graduate students, and professionals working in economic modelling and statistics.</p>

Autoren/Hrsg.

Bellini, Tiziano

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft

Inhaltsverzeichnis

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

Über Autor(innen)

Bellini, Tiziano
Tiziano Bellini received his PhD degree in statistics from the University of Milan after being a visiting PhD student at the London School of Economics and Political Science. He is Qualified Chartered Accountant and Registered Auditor. He gained wide risk management experience across Europe, in London, and in New York. He is currently Director at BlackRock Financial Market Advisory (FMA) in London. Previously he worked at Barclays Investment Bank, EY Financial Advisory Services in London, HSBCs headquarters, Prometeia in Bologna, and other leading Italian companies. He is a guest lecturer at Imperial College in London, and at the London School of Economics and Political Science. Formerly, he served as a lecturer at the University of Bologna and the University of Parma. Tiziano is author of Stress Testing and Risk Integration in Banks, A Statistical Framework and Practical Software Guide (in Matlab and R) edited by Academic Press. He has published in the European Journal of Operational Research, Computational Statistics and Data Analysis, and other top-reviewed journals. He has given numerous training courses, seminars, and conference presentations on statistics, risk management, and quantitative methods in Europe, Asia, and Africa.