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IFRS 9 and CECL Credit Risk Modelling and Validation
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. - Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit products - Concentrates on specific aspects of the modelling process by focusing on lifetime estimates - Provides an hands-on approach to enable readers to perform model development, validation and audit of credit risk models
Stress Testing and Risk Integration in Banks
Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit, and operational stress testing. Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolki...
Bellini, Giorgione, Titian, and the Renaissance of Venetian Painting
Presents a survey of sixty Venetian Renaissance paintings of the calibre of Bellini and Titian's "Feast of the Gods" in Washington and Giorgione's "Laura and Three Philosophers" in Vienna.
Reverse Stress Testing in Banking
Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process. Reverse Stress Testing in Banking features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of: Regulatory requirements and ways to address them Quantitative and qualitative approaches to ...
Machine Learning and Artificial Intelligence for Credit Risk Analytics
Machine Learning and Artificial Intelligence for Credit Risk Analytics provides a comprehensive, practical toolkit for applying ML and AI to day-to-day credit risk management challenges. Beginning with coverage of data management in banking, the book goes on to discuss individual and multiple classifier approaches, reinforcement learning and AI in credit portfolio modelling, lifetime PD modelling, LGD modelling and EAD modelling. Fully worked examples in Python and R appear throughout the book, with source code provided on the companion website. Machine Learning and Artificial Intelligence for Credit Risk Analytics fully covers the key concepts required to understand, challenge and validate credit risk models, whilst also looking to the future development of AI applications in credit risk management, demonstrating the need to embed economics and statistics to inform short, medium and long-term decision-making.
IFRS 9 and CECL Credit Risk Modelling and Validation
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.
Retail Credit Risk Management
Introducing the fundamentals of retail credit risk management, this book provides a broad and applied investigation of the related modeling theory and methods, and explores the interconnections of risk management, by focusing on retail and the constant reference to the implications of the financial crisis for credit risk management.
Credit-Risk Modelling
The risk of counterparty default in banking, insurance, institutional, and pension-fund portfolios is an area of ongoing and increasing importance for finance practitioners. It is, unfortunately, a topic with a high degree of technical complexity. Addressing this challenge, this book provides a comprehensive and attainable mathematical and statistical discussion of a broad range of existing default-risk models. Model description and derivation, however, is only part of the story. Through use of exhaustive practical examples and extensive code illustrations in the Python programming language, this work also explicitly shows the reader how these models are implemented. Bringing these complex a...
Giovanni Bellini: An Introduction
An accessible guide to the foremost figure in Venetian Renaissance painting, tracing Bellini's personal artistic development within historical context Italian Renaissance artist Giovanni Bellini (c. 1435/40-1516) is considered the most important practitioner of Venetian painting in the latter half of the 15th century. Born into a family of painters, Bellini began studying art at a young age, painting primarily in the prevailing Gothic style of the early Renaissance. As time passed and he evolved as an artist, Bellini's wide-reaching influence came to inform the maniera modernainherited by Giorgione and Titian. His unparalleled ability to both harness the expressive power of light and recreat...
Titian
The first definitive biography of the master painter in more than a century, Titian: His Life is being hailed as a "landmark achievement" for critically acclaimed author Sheila Hale (Publishers Weekly). Brilliant in its interpretation of the 16th-century master's paintings, this monumental biography of Titian draws on contemporary accounts and recent art historical research and scholarship, some of it previously unpublished, providing an unparalleled portrait of the artist, as well as a fascinating rendering of Venice as a center of culture, commerce, and power. Sheila Hale's Titian is destined to be this century's authoritative text on the life of greatest painter of the Italian High Renaissance.
