IFRS 9 and CECL Credit Risk Modelling and Validation
 - 1st Edition - ISBN: 9780128149409

IFRS 9 and CECL Credit Risk Modelling and Validation

1st Edition

A Practical Guide with Examples Worked in R and SAS

Authors: Tiziano Bellini
Paperback ISBN: 9780128149409
Imprint: Academic Press
Published Date: 1st January 2019
Page Count: 200
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IFRS 9 and CECL Credit Risk Modelling and Validation 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

  • Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit vehicles
  • Concentrates on specific aspects of the model, with each chapter building upon earlier chapters
  • Provides a non-technical approach to enable readers to perform the review, validation and audit of models


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


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© Academic Press 2019
Academic Press
Paperback ISBN:

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

Ratings and Reviews