UOWD Library

Internal credit risk models : (Record no. 13926)

INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781899332038
DEWEY DECIMAL CLASSIFICATION NUMBER
Call number 332.7 ON IN
MAIN ENTRY--PERSONAL NAME
Authors Ong, Michael K.
TITLE STATEMENT
Title Internal credit risk models :
Subtitle capital allocation and performance measurement /
Statement of responsibility, etc Michael K. Ong.
PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication London :
Publisher Risk Books,
Date c1999.
PHYSICAL DESCRIPTION
Extent xx, 364 p. :
Other Details ill ;
Size 24 cm.
GENERAL NOTE
General note Includes bibliographic references and index.
CONTENTS
Contents 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.
SUMMARY
Summary A practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management.
STUDY PROGRAM
Program name FIN956
SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Heading Credit
General Econometric models.
SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Heading Risk management.
ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier https://uowd.box.com/s/a3414smihg44i9p9dw6ympniyf0yqfq6
Public note Location Map
MAIN ENTRY--PERSONAL NAME
-- 49406
SUBJECT ADDED ENTRY--TOPICAL TERM
-- 49407
SUBJECT ADDED ENTRY--TOPICAL TERM
-- 199
Holdings
Lost status Source of classification or shelving scheme Damaged status Not for loan Permanent location Current location Shelving location Date acquired Source of acquisition Full call number Barcode Date last seen Cost, replacement price Price effective from Koha item type
        University of Wollongong in Dubai University of Wollongong in Dubai Main Collection 2009-08-11 AMAUK 332.7 ON IN T0037230 2017-01-26 76.00 2017-01-26 REGULAR
        University of Wollongong in Dubai University of Wollongong in Dubai Main Collection 2009-08-11 AMAUK 332.7 ON IN T0037231 2020-02-23 76.00 2017-01-26 REGULAR

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