Credit Risk Analytics: Measurement Techniques, Applications and Examples in SAS

Author : Bart Baesens, Daniel Roesch, Harald Scheule
Price : Rs 999.00
ISBN 13 : 9788126567027
ISBN 10 : 8126567023
Pages : 512
Type : Paperbound

Credit Risk Analytics: Measurement Techniques, Applications and Examples in SAS

Details

Credit Risk Analytics provides 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.

Acknowledgments

About the Authors

Chapter 1 Introduction to Credit Risk Analytics  

Chapter 2 Introduction to SAS Software

Chapter 3 Exploratory Data Analysis

Chapter 4 Data Preprocessing for Credit Risk Modeling

Chapter 5 Credit Scoring

Chapter 6 Probabilities of Default (PD): Discrete-Time Hazard Models

Chapter 7 Probabilities of Default: Continuous-Time Hazard Models

Chapter 8 Low Default Portfolios

Chapter 9 Default Correlations and Credit Portfolio Risk

Chapter 10 Loss Given Default (LGD) and Recovery Rates

Chapter 11 Exposure at Default (EAD) and Adverse Selection

Chapter 12 Bayesian Methods for Credit Risk Modeling

Chapter 13 Model Validation

Chapter 14 Stress Testing

Chapter 15 Concluding Remarks

Index

Risk managers

 

Harald (Harry) Scheule , is Associate Professor of Finance at the University of Technology, Sydney. He is a regional director of the Global Association of Risk Professionals. His award-winning research has been widely cited and published in leading journals. He currently serves on the editorial board of the Journal of Risk Model Validation. Scheule has worked with prudential regulators of financial institutions and undertaken consulting work for a wide range of financial institutions and service providers in Asia, Australia, Europe and North America.


Bart Baesens is an associate professor at KU Leuven (Belgium), and a lecturer at the University of Southampton (United Kingdom). He has done extensive research on analytics, customer relationship management, web analytics, fraud detection and credit risk management. He regularly advises and provides consulting support to international firms with respect to their analytics and credit risk management strategy.


Daniel Roesch, Ph.D, holds the chair in Statistics and Risk Management at the University of Regensburg. Prior to joining the University of Regensburg in 2013 he was Professor of Finance and Director of the Institute of Banking of Finance at the Leibniz University of Hannover from 2007 to 2013. He is the current President of the German Finance Association, co-founder and member of the board of directors of the Hannover Center of Finance, and deputy managing director of the workgroup Finance and Financial Institutions of the Operations Research Society.