TY - BOOK AU - Bandyopadhyay, Arindam TI - Managing Portfolio Credit Risk in Banks SN - 9781107146471 U1 - 332.10681 PY - 2016/// CY - Delhi PB - Cambridge University Press KW - Credit - Management KW - Banks and Banking N1 - 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 ER -