ISBN: | 9781107146471 |
语种代码: | eng |
个人名称: | Bandyopadhyay, Arindam |
题名: | Managing portfolio credit risk in banks / Arindam Bandyopadhyay. |
出版发行项: | Dehli, India : Cambridge University Press, [2016]. |
载体形态: | xiv, 361 pages : illustrations ; 24 cm |
书目附注: | Includes bibliographical references and index. |
格式化内容附注: | 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. |