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Author: Bart Baesens Publisher: John Wiley & Sons ISBN: 1119143985 Category : Business & Economics Languages : en Pages : 517
Book Description
The long-awaited, comprehensive guide to practical credit risk modeling 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. 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 management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite 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 Analytics is the reference every risk manager needs to streamline the modeling process.
Author: Bart Baesens Publisher: John Wiley & Sons ISBN: 1119143985 Category : Business & Economics Languages : en Pages : 517
Book Description
The long-awaited, comprehensive guide to practical credit risk modeling 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. 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 management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite 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 Analytics is the reference every risk manager needs to streamline the modeling process.
Author: Iris Heckmann Publisher: Springer ISBN: 3658148705 Category : Business & Economics Languages : en Pages : 419
Book Description
In this thesis, Iris Heckmann develops a profound conceptual basis of supply chain risk analytics. She transfers the newly defined concepts for the modelling and operationalization of supply chain risk within simulation and optimization approaches, in order to ease unexpected deviations and disruptions, which are subsumed under the notion of supply chain risk, increasingly aggravating the planning and optimization of supply chains.
Author: Gregory Connor Publisher: Princeton University Press ISBN: 1400835291 Category : Business & Economics Languages : en Pages : 400
Book Description
Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.
Author: David L. Banks Publisher: CRC Press ISBN: 1498712401 Category : Business & Economics Languages : en Pages : 220
Book Description
Winner of the 2017 De Groot Prize awarded by the International Society for Bayesian Analysis (ISBA)A relatively new area of research, adversarial risk analysis (ARA) informs decision making when there are intelligent opponents and uncertain outcomes. Adversarial Risk Analysis develops methods for allocating defensive or offensive resources against
Author: Tze Leung Lai Publisher: CRC Press ISBN: 1351643258 Category : Business & Economics Languages : en Pages : 1098
Book Description
This book presents statistics and data science methods for risk analytics in quantitative finance and insurance. Part I covers the background, financial models, and data analytical methods for market risk, credit risk, and operational risk in financial instruments, as well as models of risk premium and insolvency in insurance contracts. Part II provides an overview of machine learning (including supervised, unsupervised, and reinforcement learning), Monte Carlo simulation, and sequential analysis techniques for risk analytics. In Part III, the book offers a non-technical introduction to four key areas in financial technology: artificial intelligence, blockchain, cloud computing, and big data analytics. Key Features: Provides a comprehensive and in-depth overview of data science methods for financial and insurance risks. Unravels bandits, Markov decision processes, reinforcement learning, and their interconnections. Promotes sequential surveillance and predictive analytics for abrupt changes in risk factors. Introduces the ABCDs of FinTech: Artificial intelligence, blockchain, cloud computing, and big data analytics. Includes supplements and exercises to facilitate deeper comprehension.
Author: Ivan Damnjanovic Publisher: Springer ISBN: 3030142515 Category : Technology & Engineering Languages : en Pages : 382
Book Description
This book provides a step-by-step guidance on how to implement analytical methods in project risk management. The text focuses on engineering design and construction projects and as such is suitable for graduate students in engineering, construction, or project management, as well as practitioners aiming to develop, improve, and/or simplify corporate project management processes. The book places emphasis on building data-driven models for additive-incremental risks, where data can be collected on project sites, assembled from queries of corporate databases, and/or generated using procedures for eliciting experts’ judgments. While the presented models are mathematically inspired, they are nothing beyond what an engineering graduate is expected to know: some algebra, a little calculus, a little statistics, and, especially, undergraduate-level understanding of the probability theory. The book is organized in three parts and fourteen chapters. In Part I the authors provide the general introduction to risk and uncertainty analysis applied to engineering construction projects. The basic formulations and the methods for risk assessment used during project planning phase are discussed in Part II, while in Part III the authors present the methods for monitoring and (re)assessment of risks during project execution.
Author: Jack Freund Publisher: Butterworth-Heinemann ISBN: 0127999329 Category : Computers Languages : en Pages : 411
Book Description
Using the factor analysis of information risk (FAIR) methodology developed over ten years and adopted by corporations worldwide, Measuring and Managing Information Risk provides a proven and credible framework for understanding, measuring, and analyzing information risk of any size or complexity. Intended for organizations that need to either build a risk management program from the ground up or strengthen an existing one, this book provides a unique and fresh perspective on how to do a basic quantitative risk analysis. Covering such key areas as risk theory, risk calculation, scenario modeling, and communicating risk within the organization, Measuring and Managing Information Risk helps managers make better business decisions by understanding their organizational risk. - Uses factor analysis of information risk (FAIR) as a methodology for measuring and managing risk in any organization. - Carefully balances theory with practical applicability and relevant stories of successful implementation. - Includes examples from a wide variety of businesses and situations presented in an accessible writing style.
Author: George A. Christodoulakis Publisher: Elsevier ISBN: 0080553885 Category : Business & Economics Languages : en Pages : 217
Book Description
Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part of the regulatory structure that these risk models be validated both internally and externally, and there is a great shortage of information as to best practise. Editors Christodoulakis and Satchell collect papers that are beginning to appear by regulators, consultants, and academics, to provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk.*Risk model validation is a requirement of Basel I and II *The first collection of papers in this new and developing area of research *International authors cover model validation in credit, market, and operational risk
Author: Eduardo Rodriguez Publisher: CRC Press ISBN: 1000893081 Category : Computers Languages : en Pages : 483
Book Description
The 2022 World Economic Forum surveyed 1,000 experts and leaders who indicated their risk perception that the earth’s conditions for humans are a main concern in the next 10 years. This means environmental risks are a priority to study in a formal way. At the same time, innovation risks are present in theminds of leaders, newknowledge brings new risk, and the adaptation and adoption of risk knowledge is required to better understand the causes and effects can have on technological risks. These opportunities require not only adopting new ways of managing and controlling emerging processes for society and business, but also adapting organizations to changes and managing newrisks. Risk Analytics: Data-Driven Decisions Under Uncertainty introduces a way to analyze and design a risk analytics system (RAS) that integrates multiple approaches to risk analytics to deal with diverse types of data and problems. A risk analytics system is a hybrid system where human and artificial intelligence interact with a data gathering and selection process that uses multiple sources to the delivery of guidelines to make decisions that include humans and machines. The RAS system is an integration of components, such as data architecture with diverse data, and a risk analytics process and modeling process to obtain knowledge and then determine actions through the new knowledge that was obtained. The use of data analytics is not only connected to risk modeling and its implementation, but also to the development of the actionable knowledge that can be represented by text in documents to define and share explicit knowledge and guidelines in the organization for strategy implementation. This book moves from a review of data to the concepts of a RAS. It reviews RAS system components required to support the creation of competitive advantage in organizations through risk analytics. Written for executives, analytics professionals, risk management professionals, strategy professionals, and postgraduate students, this book shows a way to implement the analytics process to develop a risk management practice that creates an adaptive competitive advantage under uncertainty.
Author: Edward Hon Khay Ng Publisher: World Scientific ISBN: 981123907X Category : Business & Economics Languages : en Pages : 243
Book Description
This book is written to empower risk professionals to turn analytics and models into deployable solutions with minimal IT intervention. Corporations, especially financial institutions, must show evidence of having quantified credit, market and operational risks. They have databases but automating the process to translate data into risk parameters remains a desire.Modelling is done using software with output codes not readily processed by databases. With increasing acceptance of open-source languages, database vendors have seen the value of integrating modelling capabilities into their products. Nevertheless, deploying solutions to automate processes remains a challenge. While not comprehensive in dealing with all facets of risks, the author aims to develop risk professionals who will be able to do just that.
Author: Bart Baesens
Author: Bart Baesens
Author: Iris Heckmann
Author: Gregory Connor
Author: David L. Banks
Author: Tze Leung Lai
Author: Ivan Damnjanovic
Author: Jack Freund
Author: George A. Christodoulakis
Author: Eduardo Rodriguez
Author: Edward Hon Khay Ng