Tiziano Bellini: 2 books
Stress Testing and Risk Integration in Banks
A Statistical Framework and Practical Software Guide (in Matlab and R)
Language: English
Release Date: November 26, 2016
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...
IFRS 9 and CECL Credit Risk Modelling and Validation
A Practical Guide with Examples Worked in R and SAS
Language: English
Release Date: January 15, 2019
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...