Managing Portfolio Credit Risk in Banks

By:

Bandyopadhyay, Arindam

Material type: Text

TextPublication details: Cambridge University Press 2016 DelhiDescription: 361pISBN:

9781107146471

Subject(s):

DDC classification:

332.10681 BAN

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Holdings
Item type	Current library	Item location	Collection	Call number	Status	Date due	Barcode	Item holds
Book	NIMA Knowledge Centre	9th Floor Reading Zone	General	332.10681 BAN (Browse shelf(Opens below))	Available		M0033747

Total holds: 0

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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.

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