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