IFRS 9 and CECL Credit Risk Modelling and Validation: A Practical Guide with Examples Worked in R and...

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Tiziano Bellini (BlackRock Financial Market Advisory, London, UK)

IFRS 9 and CECL Credit Risk Modelling and Validation

A Practical Guide with Examples Worked in R and SAS

Tiziano Bellini (BlackRock Financial Market Advisory, London, UK)

$161.95

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English

Academic Press Inc
31 January 2019

Econometrics; Credit & credit institutions; Business strategy; Business mathematics & systems

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.

By: Tiziano Bellini (BlackRock Financial Market Advisory London UK)
Imprint: Academic Press Inc
Country of Publication: United States
Dimensions: Height: 235mm, Width: 191mm,
Weight: 630g
ISBN: 9780128149409
ISBN 10: 012814940X
Pages: 316
Publication Date: 31 January 2019
Audience: College/higher education , Primary
Format: Paperback
Publisher's Status: Active

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.

Reviews for 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:: A Practical Guide with Examples Worked in R and SAS by Tiziano Bellini is a precious resource for industry practitioners, researchers and students in the field of credit risk modeling and validation. The author does a great job in covering the various topics in a scientifically sound and comprehensive way without losing practitioner focus. The SAS and R case studies further contribute to its value and make it indispensable for anyone working in credit risk! --Bart Baesens, KU Leuven and the University of Southampton