Credit risk analytics : measurement techniques, applications, and examples in SAS
Bart Baesens, Daniel Rösch, Harald Scheule.
The long-awaited, comprehensive guide to practical credit risk modelingCredit Risk Analyticsprovides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk managementValidate and stress-test existing modelsAccess working examples based on both real and simulated dataLearn useful code for implementing and validating models in SASDespite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analyticsis the reference every risk manager needs to streamline the modeling process.
Year of publication: |
[2016]
|
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Authors: | Baesens, Bart ; Rösch, Daniel ; Scheule, Harald |
Publisher: |
Hoboken, New Jersey : John Wiley & Sons, Inc |
Description of contents: | Table of Contents [gbv.de] |
Saved in:
Online Resource
Extent: | 1 online resource (583 pages). |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Includes index 1609 |
ISBN: | 978-1-119-27834-4 ; 978-1-119-27828-3 ; 978-1-119-14398-7 ; 978-1-119-14398-7 |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011683185
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