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IFRS 9 and CECL credit risk modelling and validation : a practical guide with examples worked in R and SAS /
"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....
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
London, United Kingdom :
Academic Press,
[2019]
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 020 | |a 9780128149409 |q (paperback) | ||
| 020 | |z 9780128149409 |q (paperback) | ||
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| 100 | 1 | |a Bellini, Tiziano, |e author. | |
| 245 | 1 | 0 | |a IFRS 9 and CECL credit risk modelling and validation : |b a practical guide with examples worked in R and SAS / |c Tiziano Bellini. |
| 264 | 1 | |a London, United Kingdom : |b Academic Press, |c [2019] | |
| 300 | |a 1 online resource (xvii, 298 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 504 | |a Includes bibliographical references and index. | ||
| 588 | 1 | |a Online resource; title from PDF title page (EBSCO, viewed January 28, 2019). | |
| 505 | 0 | |a Introduction to expected credit loss modelling and validation -- One-year PD -- Lifetime PD -- LGD modelling -- Prepayments, competing risks and EAD modelling -- Scenario analysis and expected credit losses. | |
| 520 | |a "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."--Publisher's description | ||
| 650 | 0 | |a Derivative securities |x Mathematical models. | |
| 650 | 0 | |a Credit derivatives |x Mathematical models. | |
| 650 | 0 | |a Risk management |x Mathematical models. | |
| 650 | 0 | |a R (Computer program language) | |
| 650 | 0 | |a SAS (Computer program language) | |
| 650 | 6 | |a Instruments d�eriv�es (Finances) |x Mod�eles math�ematiques. |0 (CaQQLa)000268979 | |
| 650 | 6 | |a Instruments d�eriv�es de cr�edit |0 (CaQQLa)201-0321016 |x Mod�eles math�ematiques. |0 (CaQQLa)201-0379082 | |
| 650 | 6 | |a Gestion du risque |0 (CaQQLa)201-0055861 |x Mod�eles math�ematiques. |0 (CaQQLa)201-0379082 | |
| 650 | 6 | |a R (Langage de programmation) |0 (CaQQLa)201-0368319 | |
| 650 | 6 | |a SAS (Langage de programmation) |0 (CaQQLa)201-0501705 | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Derivative securities |x Mathematical models. |2 fast |0 (OCoLC)fst00891026 | |
| 650 | 7 | |a R (Computer program language) |2 fast |0 (OCoLC)fst01086207 | |
| 650 | 7 | |a Risk management |x Mathematical models. |2 fast |0 (OCoLC)fst01098179 | |
| 650 | 7 | |a SAS (Computer program language) |2 fast |0 (OCoLC)fst01738546 | |
| 776 | 0 | 8 | |i Print version : |z 9781928341116 |z 012814940X |w (OCoLC)1103600925 |
| 856 | 4 | 0 | |u https://sciencedirect.uam.elogim.com/science/book/9780128149409 |z Texto completo |