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IFRS 9 and CECL Credit Risk Modelling and Validation - A Practical Guide with Examples Worked in R and SAS (Paperback)
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IFRS 9 and CECL Credit Risk Modelling and Validation - A Practical Guide with Examples Worked in R and SAS (Paperback)
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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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