l******h
发帖数: 855 | 1 我对此很感兴趣，有没有什么相关好书籍参考。另外，此类技能，一般是那方面公司
的需求，我看到一些招聘启示看到其还时常和CFA （desirable）挂钩，是不是这样？ |
l******h
发帖数: 855 | |
s**********l
发帖数: 395 | 3 PD LGD跟baselII 挂钩的比较多，跟CFA好像没太有什么关系。 |
l******h
发帖数: 855 | 4 basel II在credit scoring方面很重要吧
【在 s**********l 的大作中提到】
: PD LGD跟baselII 挂钩的比较多，跟CFA好像没太有什么关系。
|
B*****v
发帖数: 135 | 5 个人觉得都是忽悠人的。要说重要还是origination scorecard 重要
【在 l******h 的大作中提到】
: basel II在credit scoring方面很重要吧
|
l******h
发帖数: 855 | 6 什么叫origination scorecard呀。。。。
【在 B*****v 的大作中提到】
: 个人觉得都是忽悠人的。要说重要还是origination scorecard 重要
|
A*******s
发帖数: 3942 | 7 I wouldn't say it's HuYou, but it is correct that there is no consensus on
the methodology of Economic Capital modeling in CONSUMER credit risk areas.
Major reasons is 1) Consumer credit risk may not fit the Merton/Vasicek
Model based on contingent claim assumption; 2) Insufficient data (data are
usually monthly based in consumer risk) to estimate (as well as validate)
the portfolio volatility.
But anyway, if we are not concerned on volatility estimates, PD and LGD are
the same as any other predictive models which focus on the mean estimates.
Just my 2 cents.
【在 B*****v 的大作中提到】
: 个人觉得都是忽悠人的。要说重要还是origination scorecard 重要
|
l******h
发帖数: 855 | 8 谢谢分享，能不能介绍一下有没有PD,LGD方面的好书？
.
are
【在 A*******s 的大作中提到】
: I wouldn't say it's HuYou, but it is correct that there is no consensus on
: the methodology of Economic Capital modeling in CONSUMER credit risk areas.
: Major reasons is 1) Consumer credit risk may not fit the Merton/Vasicek
: Model based on contingent claim assumption; 2) Insufficient data (data are
: usually monthly based in consumer risk) to estimate (as well as validate)
: the portfolio volatility.
: But anyway, if we are not concerned on volatility estimates, PD and LGD are
: the same as any other predictive models which focus on the mean estimates.
: Just my 2 cents.
|
A*******s
发帖数: 3942 | 9 Unlike on commercial/corporate side, it is still under-explored on consumer
side.
My reference is usually based on Lynn Thomas' and Moody Research's papers.
【在 l******h 的大作中提到】
: 谢谢分享，能不能介绍一下有没有PD,LGD方面的好书？
:
: .
: are
|
l******h
发帖数: 855 | 10 谢谢Actuaries, 你总是能给有用的信息 ：D
consumer
【在 A*******s 的大作中提到】
: Unlike on commercial/corporate side, it is still under-explored on consumer
: side.
: My reference is usually based on Lynn Thomas' and Moody Research's papers.
|
l******h
发帖数: 855 | 11 我刚刚找到Lynn的一本
Credit Scoring and Its Applications
consumer
【在 A*******s 的大作中提到】
: Unlike on commercial/corporate side, it is still under-explored on consumer
: side.
: My reference is usually based on Lynn Thomas' and Moody Research's papers.
|
