Bandyopadhyay, Arindam
Managing portfolio credit risk in banks Arindam Bandyopadhyay - New York : Cambridge University Press, c2016. - xxvii, 361 p. : ill. ; 24 cm.
Tables; figures; charts; Preface; Acknowledgements; Abbreviations; 1. Introduction to credit risk; 2. Credit rating models; 3. Approaches for measuring Probability of Default (PD); 4. Exposure at Default (EAD) and Loss Given Default (LGD); 5. Validation and stress testing of credit risk models; 6. Portfolio assessment of credit risk: default correlation, asset correlation and loss estimation; 7. Economic capital and RAROC; 8. Basel II IRB approach of measuring credit risk regulatory capital; Index.
This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.
9781107146471
Credit--Management
Risk management
Banks and banking
332.6015195 BA MA
Managing portfolio credit risk in banks Arindam Bandyopadhyay - New York : Cambridge University Press, c2016. - xxvii, 361 p. : ill. ; 24 cm.
Tables; figures; charts; Preface; Acknowledgements; Abbreviations; 1. Introduction to credit risk; 2. Credit rating models; 3. Approaches for measuring Probability of Default (PD); 4. Exposure at Default (EAD) and Loss Given Default (LGD); 5. Validation and stress testing of credit risk models; 6. Portfolio assessment of credit risk: default correlation, asset correlation and loss estimation; 7. Economic capital and RAROC; 8. Basel II IRB approach of measuring credit risk regulatory capital; Index.
This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.
9781107146471
Credit--Management
Risk management
Banks and banking
332.6015195 BA MA