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
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