Risk Analytics: From Concept to Deployment, 2nd Edition
- Length: 208 pages
- Edition: 2
- Language: English
- Publisher: World Scientific Publishing Company
- Publication Date: 2021-10-04
- ISBN-10: 9811238707
- ISBN-13: 9789811238703
- Sales Rank: #0 (See Top 100 Books)
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.
Contents Foreword About the Author Chapter 1 Introduction Chapter 2 Risk Typology and Data Implications 2.1. Data Needed 2.2. Data Stewardship 2.3. Deployment for Use Chapter 3 Risk Analytics Landscape 3.1. Software and Solutions 3.1.1. Request for Proposal (RFP) 3.1.2. Terms of Reference (TOR) 3.1.3. Proof of Concept (POC) 3.1.4. System Integration Test (SIT) 3.1.5. User Acceptance Test (UAT) 3.2. Data Table and Data Type 3.3. Modeling 3.3.1. Business understanding 3.3.2. Data understanding 3.3.3. Data preparation 3.3.4. Modeling 3.3.5. Evaluation 3.3.6. Deployment 3.4. Data Flow 3.4.1. Data quality and quantity 3.4.2. External and internal data integration 3.4.3. Security and access 3.4.4. Analysis and decision-making 3.5. Deployment 3.6. Governance 3.7. Need for Integration Chapter 4 Embedded R 4.1. ORACLE_HOME and R_HOME 4.2. Pluggable Database 4.3. RQUSER 4.4. R Packages and RStudio 4.5. Oracle R Enterprise (ORE) Chapter 5 Data Audit 5.1. Missing 5.2. Invalid 5.3. Unreliable 5.4. Outdated 5.5. Inconsistent 5.6. Data Audit Report 5.7. Treatments for Problematic Data Values Chapter 6 Data Warehousing 6.1. Legacy System Data 6.1.1. Overwrite mode 6.1.2. Record removal 6.1.3. Legal priority 6.1.4. Data type 6.2. Enterprise Data Warehouse vs Specialized Data Mart 6.2.1. Data stewardship 6.2.2. Access and security 6.2.3. Update frequency 6.2.4. Designed to fail 6.3. Extraction, Transfer, Load (ETL) 6.3.1. Data cleansing 6.3.2. Mappings 6.3.3. Rejected records 6.3.4. Corrections Chapter 7 Analytical Data Sphere 7.1. Archive, Not Overwrite 7.2. Dropdown List, Not Free Text 7.3. Meaningful Categories 7.4. Optimal Number of Categories 7.5. Expandable Data Tables 7.6. Dated 7.7. Useful and New Primary Keys 7.8. Updatable 7.9. Accessible Chapter 8 Risks in Financial Institutions 8.1. Profiling What Is Ahead 8.2. External Warning Indicators 8.3. Operational Concerns 8.4. Portfolio Composition Chapter 9 Common Risk Models and Analytics 9.1. Expected and Unexpected Losses 9.2. Value at Risk 9.3. Securities Portfolio Optimization 9.4. Correlation 9.5. Concentration Index 9.6. Operational Loss Distribution 9.7. Stress Testing 9.8. Weight of Evidence Chapter 10 Internal Rating System 10.1. Developing an ORR 10.2. Data Audit 10.3. Predictors and Target 10.4. Weight of Evidence (WoE) 10.5. Training a Model 10.6. Risk Grades/Ratings 10.7. Backtesting Chapter 11 Deployment 11.1. Default and Reageing 11.2. Enterprise Data Warehouse or Data Mart Chapter 12 Through The Cycle (TTC) Updating Chapter 13 Desktop Analytics 13.1. Basic Excel R Toolkit (BERT) 13.2. Probabilities and PD 13.2.1. Cumulative and marginal probabilities 13.2.2. Joint, conditional and unconditional probabilities 13.2.3. Binomial lattice 13.3. Loss Given Default (LGD) 13.4. Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA) and xVA 13.4.1. Spot, forward and par rates 13.4.2. Interest rate binomial lattice 13.4.3. Counterparty default 13.5. R with Excel Chapter 14 Resources 14.1. RStudio 14.2. Packages 14.3. Free Data Annex A: Meeting of Minds Questionnaire Business Problem and Solution Departments and Individual Users Budget Working Mode Data Collection and Storage Analytics Tool OLAP and Front-End Tools Other Information Annex B Index
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