Đang tải...
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"--
| Tác giả chính: | |
|---|---|
| Định dạng: | Printed Book |
| Được phát hành: |
New Delhi:
Cambridge University Press
2016.
|
| Những chủ đề: | |
| Truy cập trực tuyến: | https://www.cambridge.org/core/books/managing-portfolio-credit-risk-in-banks/CCA56DFE92A48E8AFE9705E875DEC814 |
Mục lục:
- 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.