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The Basel II Risk Parameters: Estimation, Validation,
and Stress Testing Review: The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default) is an important problem in banking practice. This book covers designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD. The estimation and validation of the Basel II risk parameters PD
(default probability), LGD (loss given default), and EAD (exposure
at default) is an important problem in banking practice. These parameters
are used on the one hand as inputs to credit portfolio models, on
the other to compute regulatory capital according to the new Basel
rules. The book covers the state-of-the-art in designing and validating
rating systems and default probability estimations. Furthermore,
it presents techniques to estimate LGD and EAD. A chapter on stress
testing of the Basel II risk parameters concludes the monograph.
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Credit Risk Scorecards: Developing and Implementing Intelligent
Credit Scoring Review: The development of better, intelligent credit risk scorecards calls for the use of statistical principles for specific business objectives like being able to predict losses better. This book presents a business focused process for the development and implementation of these risk prediction scorecards. Praise for "Credit Risk Scorecards": "Scorecard
development is important to retail financial services in terms of
credit risk management, Basel II compliance, and marketing of credit
products. "Credit Risk Scorecards" provides insight into
professional practices in different stages of credit scorecard development,
such as model building, validation, and implementation. The book
should be compulsory reading for modern credit risk managers."
- Michael C. S. Wong, Associate Professor of Finance, City University
of Hong Kong, Hong Kong; Regional Director, Global Association of
Risk Professionals. "Siddiqi offers a practical, step by step
guide for developing and implementing successful credit scorecards.
He relays the key steps in an ordered and simple to follow fashion.
A must read for anyone managing the development of a scorecard."
- Jonathan G. Baum, Chief Risk Officer, GE Consumer Finance, Europe.
"A comprehensive guide, not only for scorecard specialists
but for all consumer credit professionals. The book provides the
A to Z of scorecard development, implementation, and monitoring
processes. This is an important read for all consumer lending practitioners."
- Satinder Ahluwalia, Vice President and Head Retail Credit, Mashreqbank,
UAE. "This practical text provides a strong foundation in the
technical issues involved in building credit scoring models. This
book will become required reading for all those working in this
area." - J. Michael Hardin, PhD Professor of Statistics, Department
of Information Systems, Statistics, and Management Science; Director,
Institute of Business Intelligence. "Mr. Siddiqi has captured
the true essence of the credit risk practitioner s primary tool,
the predictive scorecard. He has combined both art and science in
demonstrating the critical advantages that scorecards achieve when
employed in marketing, acquisition, account management, and recoveries.
This text should be part of every risk manager s library."
- Stephen D. Morris, Director, Credit Risk, ING Bank of Canada.
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| DUBLIN, Ireland--(Business Wire)-- Research and Markets (http://www.researchandmarkets.com/reports/c84905) has announced the addition of "E-Learning Course: Bank Branch Management - Risk Management" to their offering. This e-learning course on 'BBM Risk Management' is designed to |
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