Ong, Michael K.
Internal credit risk models : capital allocation and performance measurement / Michael K. Ong. - London : Risk Books, c1999. - xx, 364 p. : ill ; 24 cm.
Includes bibliographic references and index.
Table of content1. On Basle, Regulation and Market Responses past and present 12. Overview approach 493. Modelling Credit Risk 614. Loan Portfolios and Expected Loss 935. Unexpected Loss 1096. Portfolio Effects: Risk contribution and unexpected losses 1197. Correlation of Default and Credit Quality 1358. Loss Distribution for Credit Default Risk 1639. Monte Carlo Simulation of Loss Distribution 17910. Extreme value theory 19711. Risk-Adjusted performance measurement 21512. Implemented the internal model across the enterprise 22913. Credit Concentration and Required spread 247Epilogue: the next steps.
A practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management.
9781899332038
Credit--Econometric models.
Risk management.
332.7 ON IN
Internal credit risk models : capital allocation and performance measurement / Michael K. Ong. - London : Risk Books, c1999. - xx, 364 p. : ill ; 24 cm.
Includes bibliographic references and index.
Table of content1. On Basle, Regulation and Market Responses past and present 12. Overview approach 493. Modelling Credit Risk 614. Loan Portfolios and Expected Loss 935. Unexpected Loss 1096. Portfolio Effects: Risk contribution and unexpected losses 1197. Correlation of Default and Credit Quality 1358. Loss Distribution for Credit Default Risk 1639. Monte Carlo Simulation of Loss Distribution 17910. Extreme value theory 19711. Risk-Adjusted performance measurement 21512. Implemented the internal model across the enterprise 22913. Credit Concentration and Required spread 247Epilogue: the next steps.
A practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management.
9781899332038
Credit--Econometric models.
Risk management.
332.7 ON IN