IFRS 9 and CECL Credit Risk Modelling and Validation: A Practical Guide with Examples Worked in R and SAS

Sencillo pero muy completo

The book is one of a kind. The author's knowledge of the topic is encyclopedic. The discussion is excellent. The book would receive 5 stars were it not for the R code for the examples. First, nowhere in the book does it say where the code can be found. After googling, I found the website https://www.tizianobellini.com/. Code for book is found under the "IRS and CECL" tab. For Chapter 2 for example, he provides csv data in .xlxs files and "complementary code" in a Word docx file. When I try to read the file using the code shown in the text - oneypd <- read.csv('./Chap_2/chap2oneypd.csv')[,2:45] - I get an error message - "Error in file(file, "rt") : cannot open the connection". I spent about a half hour finding the website, about an hour typing in the code shown in the text and about an hour trying to figure out why I was getting the error message. Without the data I could do nothing so I gave up. Since the very first executable line failed, I had typed in the rest of the code for nothing. It's a shame no thought was given to the code before the book was published. First the code should be in a github repo where it would be easily accessible and the repo location should be included the preface making it easy to find. Second the code should be debugged and kept up-to-date. Being able to run the examples would mak the discussion really come alive.

Very practical

I did lots of researches and work on evaluating portfolio quality and defending bank’s approaches infront of auditors/supervisors. This books reveals the best approaches and shows them in quite clear and useful way.This book value can be increased with Bart Baesen’s publications aswell.

Very good insight about credit Impairment Models and a very complete on regulatory requirements