《Credit Risk Management》 作者：Tony Van Gestel, Bart Baesens【PDF】

Leona沙地花

Title:Credit Risk Management: Basic Concepts – Financial Risk Components, Rating Analysis, Models, Economics and Regulatory Capital
Authors:

Tony Van Gestel

• Position: Head of Risk Modeling at European Systemic Risk Board
• Breakthrough: Developed ECB's stress testing methodologies
• Teaching: Risk courses at Solvay Business School
  
  

Bart Baesens

• Position: Professor at KU Leuven & Cambridge Fintech Advisor
• Pioneering Work: AI/ML applications in credit scoring
• Commercialization: Co-founded 3 risk analytics startups
  
  

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Key Insights

This quantitative risk bible bridges theory and practice:

• Core Components:
  
  
  • PD/LGD/EAD calculation frameworks (Basel III/IV compliant)
  • Credit rating migration matrices
    
    
• Advanced Modeling:
  
  
  • Machine learning applications (XGBoost vs. logistic regression)
  • Stress testing methodologies
    
    
• Regulatory Deep Dive:
  
  
  • IFRS 9 expected credit loss (ECL) models
  • CRR vs. FRTB capital requirements
    
    
• Real-World Applications:
  
  
  • ECB bank stress test case studies
  • SME credit scoring innovations
    
    
  
  

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书名:《信用风险管理基础：金融风险要素、评级分析、模型、经济学与监管资本》

作者团队:

托尼·范·盖斯特尔

• 职位: 欧洲系统性风险委员会风险建模主管
• 突破性贡献: 设计欧洲央行压力测试方法论
• 教学经历: 索尔维商学院风险课程
  
  

巴特·贝森斯

• 职位: 鲁汶大学教授兼剑桥金融科技顾问
• 开创性工作: 人工智能在信用评分中的应用
• 商业转化: 联合创立3家风险分析初创企业
  
  

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核心内容

这本量化风险管理经典涵盖：

• 基础要素:
  
  
  • 违约概率/损失率/风险暴露(PD/LGD/EAD)计算框架
  • 信用评级迁移矩阵
    
    
• 高级建模:
  
  
  • 机器学习应用对比（XGBoost与逻辑回归）
  • 压力测试方法论
    
    
• 监管实践:
  
  
  • IFRS 9预期信用损失(ECL)模型
  • 资本要求条例(CRR)与交易账簿审查(FRTB)对比
    
    
• 实战案例:
  
  
  • 欧洲央行银行压力测试分析
  • 中小企业信用评分创新
    
    

Ideal Readers 目标读者

• Chief Risk Officers implementing Basel IV
• Quant Analysts building next-gen scorecards
• Regulators designing stress testing regimes
• Fintech Founders disrupting credit assessment

• 银行风险总监   – 巴塞尔IV落地实施
• 量化分析师     – 开发新一代评分模型
• 监管机构       – 设计压力测试方案
• 金融科技创业者 – 创新信用评估模式