Managing Portfolio Credit Risk in Banks
Bandyopadhyay, Arindam
Managing Portfolio Credit Risk in Banks - Delhi Cambridge University Press 2016 - 361p
Preface
Acknowledgements
Abbreviations
Introduction to credit risk
Credit rating models
Approaches for measuring probability of default (PD)
Exposure at default (EAD) and loss given default (LGD)
Validation and stress testing of credit risk models
Portfolio assessment of credit risk: default correlation, asset correlation and loss estimation
Economic capital and raroc
Basel II IRB approach of measuring credit risk regulatory capital
Index.
9781107146471
Credit - Management
Banks and Banking
332.10681 / BAN
Managing Portfolio Credit Risk in Banks - Delhi Cambridge University Press 2016 - 361p
Preface
Acknowledgements
Abbreviations
Introduction to credit risk
Credit rating models
Approaches for measuring probability of default (PD)
Exposure at default (EAD) and loss given default (LGD)
Validation and stress testing of credit risk models
Portfolio assessment of credit risk: default correlation, asset correlation and loss estimation
Economic capital and raroc
Basel II IRB approach of measuring credit risk regulatory capital
Index.
9781107146471
Credit - Management
Banks and Banking
332.10681 / BAN