Managing portfolio credit risk in banks
By: Bandyopadhyay, Arindam
Material type:
BookPublisher: New York : Cambridge University Press, c2016.Description: xxvii, 361 p. : ill. ; 24 cm.ISBN: 9781107146471Subject(s): Credit -- Management | Risk management | Banks and bankingDDC classification: 332.6015195 BA MA Online resources: Location Map
Summary:
This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.
| Item type | Home library | Call number | Status | Date due | Barcode | Item holds |
|---|---|---|---|---|---|---|
| REGULAR | University of Wollongong in Dubai Main Collection | 332.6015195 BA MA (Browse shelf) | Available | T0054510 |
Total holds: 0
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.