Skip to main content

Save up to 20% on Elsevier print and eBooks with free shipping. No promo code needed.

Save up to 20% on print and eBooks.

IFRS 9 and CECL Credit Risk Modelling and Validation

A Practical Guide with Examples Worked in R and SAS

1st Edition - January 15, 2019

Author: Tiziano Bellini

Language: English
Paperback ISBN:
9 7 8 - 0 - 1 2 - 8 1 4 9 4 0 - 9
eBook ISBN:
9 7 8 - 0 - 1 2 - 8 1 4 9 4 1 - 6

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 perspecti… Read more

IFRS 9 and CECL Credit Risk Modelling and Validation

Purchase options

LIMITED OFFER

Save 50% on book bundles

Immediately download your ebook while waiting for your print delivery. No promo code is needed.

Institutional subscription on ScienceDirect

Request a sales quote

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.