IFRS 9 and CECL Credit Risk Modelling and Validation : A Practical Guide with Examples Worked in R and SAS
Book Details
Format
Paperback / Softback
ISBN-10
012814940X
ISBN-13
9780128149409
Publisher
Elsevier Science Publishing Co Inc
Imprint
Academic Press Inc
Country of Manufacture
NL
Country of Publication
GB
Publication Date
Jan 31st, 2019
Print length
316 Pages
Weight
648 grams
Dimensions
23.60 x 19.20 x 1.60 cms
Product Classification:
EconometricsCredit & credit institutionsBusiness strategyBusiness mathematics & systems
Ksh 13,500.00
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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.
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