IFRS 9 and CECL Credit Risk Modelling and ...

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Sprache: Englisch

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Beschreibung

Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit products Concentrates on specific aspects of the modelling process by focusing on lifetime estimates Provides an hands-on approach to enable readers to perform model development, validation and audit of credit risk models

Über den Autor

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.

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

Erscheinungsjahr:	2019
Fachbereich:	Einzelne Wirtschaftszweige
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Seiten:	316
Inhalt:	Kartoniert / Broschiert
ISBN-13:	9780128149409
ISBN-10:	012814940X
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Bellini, Tiziano
Besonderheit:	Unsere Aufsteiger
Hersteller:	Elsevier Science Publishing Co Inc
Maße:	233 x 189 x 22 mm
Von/Mit:	Tiziano Bellini
Erscheinungsdatum:	31.01.2019
Gewicht:	0,664 kg

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