IFRS 9 and CECL Credit Risk Modelling and Validation

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Description

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. show more

Book details

EAN

9780128149409

Classifications

Econometrics and economic statistics
Credit and credit institutions
Business strategy
Business mathematics and systems

Format

Paperback / softback

Number of pages

316 pages

Weight(g)

670g

Dimensions(mm)

236 x 192 x 16

Publication date

2019-01-31

Publisher

Elsevier Science Publishing Co Inc

Readership

Professional & Vocational

Series

Series Editor

Imprint

-

Publication City/Country

United States

Language

English

EAN 9780128149409
Classification Econometrics and economic statistics
Credit and credit institutions
Business strategy
Business mathematics and systems
Format Paperback / softback
Number of pages 316 pages
Weight(g) 670g
Dimensions(mm) 236 x 192 x 16
Publication date 2019-01-31
Publisher Elsevier Science Publishing Co Inc
Readership Professional & Vocational
Series
Series Editor
Imprint -
Publication City/Country United States
Language: English

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