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Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Vahit Ferhan Benli
Publisher : Haupt Verlag AG
ISBN 13 : 3258075581
Total Pages : 296 pages
Book Rating : 4.2/5 (58 download)
Download or read book A Critical Assessment of Basel II, Internal Rating Based Approach written by Vahit Ferhan Benli and published by Haupt Verlag AG. This book was released on 2010 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bogie Ozdemir
Publisher : McGraw Hill Professional
ISBN 13 : 0071731768
Total Pages : 125 pages
Book Rating : 4.0/5 (717 download)
Download or read book Basel II Implementation, Chapter 2 - Risk Ratings System Quantification written by Bogie Ozdemir and published by McGraw Hill Professional. This book was released on 2008-07-10 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a sample chapter from Basel II Implementation, an invaluable guide that puts a potent combination of theory and real-world practice at your fingertips. Written by two of the most globally recognized and sought-after thought leaders in Basel II implementation, this how-to book maps out, step-by-step, implementable solutions that are both academically credible and practical, making them defendable to regulators and executable within the constraints of data, resources, and time.
Author : Bogie Ozdemir
Publisher : McGraw Hill Professional
ISBN 13 : 0071731776
Total Pages : 104 pages
Book Rating : 4.0/5 (717 download)
Download or read book Basel II Implementation, Chapter 3 - Validation of Internal Risk Rating System written by Bogie Ozdemir and published by McGraw Hill Professional. This book was released on 2008-07-10 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a sample chapter from Basel II Implementation, an invaluable guide that puts a potent combination of theory and real-world practice at your fingertips. Written by two of the most globally recognized and sought-after thought leaders in Basel II implementation, this how-to book maps out, step-by-step, implementable solutions that are both academically credible and practical, making them defendable to regulators and executable within the constraints of data, resources, and time.
Author : Bogie Ozdemir
Publisher : McGraw Hill Professional
ISBN 13 : 007173175X
Total Pages : 72 pages
Book Rating : 4.0/5 (717 download)
Download or read book Basel II Implementation, Chapter 1 - Risk Ratings System Design written by Bogie Ozdemir and published by McGraw Hill Professional. This book was released on 2008-07-10 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a sample chapter from Basel II Implementation, an invaluable guide that puts a potent combination of theory and real-world practice at your fingertips. Written by two of the most globally recognized and sought-after thought leaders in Basel II implementation, this how-to book maps out, step-by-step, implementable solutions that are both academically credible and practical, making them defendable to regulators and executable within the constraints of data, resources, and time.
Author : Bogie Ozdemir
Publisher : McGraw Hill Professional
ISBN 13 : 0071591311
Total Pages : 355 pages
Book Rating : 4.0/5 (715 download)
Download or read book Basel II Implementation: A Guide to Developing and Validating a Compliant, Internal Risk Rating System written by Bogie Ozdemir and published by McGraw Hill Professional. This book was released on 2008-07-31 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Basel II is a global regulation, and financial institutions must prove minimum compliance by 2008 The authors are highly sought-after speakers and among the world’s most recognized authorities on Basel II implementation Accompanying CD-ROM includes spreadsheet templates that will assist corporations as they implement Basel II
Author : L. Izzi
Publisher : Springer
ISBN 13 : 0230361188
Total Pages : 357 pages
Book Rating : 4.2/5 (33 download)
Download or read book Basel III Credit Rating Systems written by L. Izzi and published by Springer. This book was released on 2011-12-19 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: More than ever, banking competition is based on the ability to control the cost of risk and can only be managed with excellent internal rating models and very advanced risk management processes. This book is a comprehensive guide to quantitative and qualitative rating assessments with up-to-date methodologies in the international banking system.
Author : Vanessa Le Leslé
Publisher : International Monetary Fund
ISBN 13 : 1475502656
Total Pages : 50 pages
Book Rating : 4.4/5 (755 download)
Download or read book Revisiting Risk-Weighted Assets written by Vanessa Le Leslé and published by International Monetary Fund. This book was released on 2012-03-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
Author : Bart Baesens
Publisher : John Wiley & Sons
ISBN 13 : 1119143985
Total Pages : 517 pages
Book Rating : 4.1/5 (191 download)
Download or read book Credit Risk Analytics written by Bart Baesens and published by John Wiley & Sons. This book was released on 2016-10-03 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.
Author : Tony Van Gestel
Publisher : Oxford University Press
ISBN 13 : 0199545111
Total Pages : 552 pages
Book Rating : 4.1/5 (995 download)
Download or read book Credit Risk Management written by Tony Van Gestel and published by Oxford University Press. This book was released on 2009 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first of three volumes on credit risk management, providing a thorough introduction to financial risk management and modelling.
Author : Bernd Engelmann
Publisher : Springer Science & Business Media
ISBN 13 : 3642161146
Total Pages : 432 pages
Book Rating : 4.6/5 (421 download)
Download or read book The Basel II Risk Parameters written by Bernd Engelmann and published by Springer Science & Business Media. This book was released on 2011-03-31 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models and in loan pricing frameworks, on the other to compute regulatory capital according to the new Basel rules. This book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.
Author : Naeem Siddiqi
Publisher : John Wiley & Sons
ISBN 13 : 1119279151
Total Pages : 469 pages
Book Rating : 4.1/5 (192 download)
Download or read book Intelligent Credit Scoring written by Naeem Siddiqi and published by John Wiley & Sons. This book was released on 2017-01-10 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: A better development and implementation framework for credit risk scorecards Intelligent Credit Scoring presents a business-oriented process for the development and implementation of risk prediction scorecards. The credit scorecard is a powerful tool for measuring the risk of individual borrowers, gauging overall risk exposure and developing analytically driven, risk-adjusted strategies for existing customers. In the past 10 years, hundreds of banks worldwide have brought the process of developing credit scoring models in-house, while ‘credit scores' have become a frequent topic of conversation in many countries where bureau scores are used broadly. In the United States, the ‘FICO' and ‘Vantage' scores continue to be discussed by borrowers hoping to get a better deal from the banks. While knowledge of the statistical processes around building credit scorecards is common, the business context and intelligence that allows you to build better, more robust, and ultimately more intelligent, scorecards is not. As the follow-up to Credit Risk Scorecards, this updated second edition includes new detailed examples, new real-world stories, new diagrams, deeper discussion on topics including WOE curves, the latest trends that expand scorecard functionality and new in-depth analyses in every chapter. Expanded coverage includes new chapters on defining infrastructure for in-house credit scoring, validation, governance, and Big Data. Black box scorecard development by isolated teams has resulted in statistically valid, but operationally unacceptable models at times. This book shows you how various personas in a financial institution can work together to create more intelligent scorecards, to avoid disasters, and facilitate better decision making. Key items discussed include: Following a clear step by step framework for development, implementation, and beyond Lots of real life tips and hints on how to detect and fix data issues How to realise bigger ROI from credit scoring using internal resources Explore new trends and advances to get more out of the scorecard Credit scoring is now a very common tool used by banks, Telcos, and others around the world for loan origination, decisioning, credit limit management, collections management, cross selling, and many other decisions. Intelligent Credit Scoring helps you organise resources, streamline processes, and build more intelligent scorecards that will help achieve better results.
Author : Arindam Bandyopadhyay
Publisher : Cambridge University Press
ISBN 13 : 110714647X
Total Pages : 390 pages
Book Rating : 4.1/5 (71 download)
Download or read book Managing Portfolio Credit Risk in Banks: An Indian Perspective written by Arindam Bandyopadhyay and published by Cambridge University Press. This book was released on 2016-05-09 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.
Author : Giacomo De Laurentis
Publisher : John Wiley & Sons
ISBN 13 : 1119957648
Total Pages : 244 pages
Book Rating : 4.1/5 (199 download)
Download or read book Developing, Validating and Using Internal Ratings written by Giacomo De Laurentis and published by John Wiley & Sons. This book was released on 2011-06-20 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a thorough analysis of internal rating systems. Two case studies are devoted to building and validating statistical-based models for borrowers’ ratings, using SPSS-PASW and SAS statistical packages. Mainstream approaches to building and validating models for assigning counterpart ratings to small and medium enterprises are discussed, together with their implications on lending strategy. Key Features: Presents an accessible framework for bank managers, students and quantitative analysts, combining strategic issues, management needs, regulatory requirements and statistical bases. Discusses available methodologies to build, validate and use internal rate models. Demonstrates how to use statistical packages for building statistical-based credit rating systems. Evaluates sources of model risks and strategic risks when using statistical-based rating systems in lending. This book will prove to be of great value to bank managers, credit and loan officers, quantitative analysts and advanced students on credit risk management courses.
Author : George A. Christodoulakis
Publisher : Elsevier
ISBN 13 : 0080553885
Total Pages : 217 pages
Book Rating : 4.0/5 (85 download)
Download or read book The Analytics of Risk Model Validation written by George A. Christodoulakis and published by Elsevier. This book was released on 2007-11-14 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part of the regulatory structure that these risk models be validated both internally and externally, and there is a great shortage of information as to best practise. Editors Christodoulakis and Satchell collect papers that are beginning to appear by regulators, consultants, and academics, to provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk.*Risk model validation is a requirement of Basel I and II *The first collection of papers in this new and developing area of research *International authors cover model validation in credit, market, and operational risk
Author : Rym Ayadi
Publisher : Centre for European Policy Studies
ISBN 13 :
Total Pages : 124 pages
Book Rating : 4.:/5 (321 download)
Download or read book The New Basel Capital Accord and SME Financing written by Rym Ayadi and published by Centre for European Policy Studies. This book was released on 2005 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: The First Basel Capital Accord, implemented in 1988, was aimed at ensuring the soundness and stability of the international banking system. The new accord, Basel II, which is planned for implementation in December 2006, is intended to strengthen the framework for dealing with credit risk. This book provides an informative analysis of what Basel II means for the small and medium-sized enterprize (SME) sector in Europe and its impact on its credit financing conditions. It also presents a detailed analysis of how banks formulate an internal rating system and illustrates how this system works in practice. Finally, it concludes with the key measures that should be taken by banks, SMEs, and public policymakers to improve financing in the new rating culture.
Author : Tiziano Bellini
Publisher : Academic Press
ISBN 13 : 0128149418
Total Pages : 318 pages
Book Rating : 4.1/5 (281 download)
Download or read book IFRS 9 and CECL Credit Risk Modelling and Validation written by Tiziano Bellini and published by Academic Press. This book was released on 2019-01-15 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. - 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
