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Managing portfolio credit risk in banks /
"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"--
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| Format: | Printed Book |
| Publié: |
New Delhi:
Cambridge University Press
2016.
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| Accès en ligne: | https://www.cambridge.org/core/books/managing-portfolio-credit-risk-in-banks/CCA56DFE92A48E8AFE9705E875DEC814 |
Table des matières:
- 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.