Managing portfolio credit risk in banks /

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"Attempts to demystify various standard mathematical and statistical techniques that can be applied in measuring and managing portfolio credit risk in the emerging market in India"--

التفاصيل البيبلوغرافية
المؤلف الرئيسي: Arindam Bandyopadhyay
التنسيق: Printed Book
منشور في: New Delhi: Cambridge University Press 2016.
الموضوعات:
Credit
Risk management.
Banks and banking.
الوصول للمادة أونلاين:https://www.cambridge.org/core/books/managing-portfolio-credit-risk-in-banks/CCA56DFE92A48E8AFE9705E875DEC814
جدول المحتويات:
  • 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.

مواد مشابهة