How to Model and Validate Expected Credit Losses for IFRS9 and CECL - 1st Edition - ISBN: 9780128149409

How to Model and Validate Expected Credit Losses for IFRS9 and CECL

1st Edition

A Practical Guide with Examples Worked in Excel, R, and SAS

Authors: Tiziano Bellini
Paperback ISBN: 9780128149409
Imprint: Academic Press
Published Date: 1st January 2019
Page Count: 200
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Description

How to Model and Validate Expected Credit Losses for IFRS9 and CECL covers a hot topic in risk management. The IFRS 9 expected credit loss accounting principle (going live in 2018) and the US CECL standard (going live in 2020) require creditors to adopt a new perspective in assessing their credit exposures. The book explores the modelling process one needs to follow by pointing out the most common statistical techniques used in estimating expected credit losses. A practical approach encourages non-technical professionals to grasp the key concepts required to understand, challenge, and validate these models through practical examples in Excel. Additionally, the reader with broader modelling experience will benefit from a more technical dissertation accompanied with cases worked in SAS and R (the software packages most commonly used by credit risk managers to develop their models).

Key Features

  • A broad survey explains what models work best for mortgage, small business, cards, commercial real estate, commercial loans, and other credit vehicles
  • Each chapter concentrates on a specific aspect of the model, and later chapters build upon the earlier chapters
  • The non-technical approach enables readers to perform the review, validation, and audit of models

Readership

Upper-division undergraduates, graduate students, and professionals working in economic modelling and statistics

Table of Contents

  1. Introduction
    2. How to Build a Probability of Default (PD) Lifetime Curve
    3. Exposure at default (EAD) and Behavioural Modelling
    4. Loss Given Default
    5. Scenario Analysis
    6. IFRS 9 Staging Allocation
    7. Expected Credit Loss (ECL) vs. Credit  Portfolio Modelling

Details

No. of pages:
200
Language:
English
Copyright:
© Academic Press 2019
Published:
Imprint:
Academic Press
Paperback ISBN:
9780128149409

About the Author

Tiziano Bellini

Tiziano Bellini received his Ph.D. in Statistics from the Università degli Studi di Milano after being visiting Ph.D. student at the London School of Economics. He gained a wide risk management experience across Europe, in London and New York.He currently holds a Senior Management position at EY Financial Advisory Services in London. Previously he worked at HSBC headquarter, Prometeia and for other Italian leading Companies. He is also a guest Lecturer at the London School of Economics. Formerly, he served as Lecturer at the Università degli Studi di Bologna and Università degli Studi di Parma. He has published in 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.

Affiliations and Expertise

EY Financial Advisory Services, London, UK

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