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Managing portfolio credit risk in ba...

Bandyopadhyay, Arindam.

Managing portfolio credit risk in banks /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Managing portfolio credit risk in banks // Arindam Bandyopadhyay.
作者:	Bandyopadhyay, Arindam.
出版者:	Dehli, India :Cambridge University Press, : c2016.,
面頁冊數:	xxvii, 361 p. :ill. ; : 24 cm.;
標題:	Credit - Management. -
ISBN:	9781107146471 :

Managing portfolio credit risk in banks /
Bandyopadhyay, Arindam.

Managing portfolio credit risk in banks /Arindam Bandyopadhyay. - Dehli, India :Cambridge University Press,c2016. - xxvii, 361 p. :ill. ;24 cm.

Includes bibliographical references and index.

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.

"Attempts to demystify various standard mathematical and statistical techniques that can be applied in measuring and managing portfolio credit risk in the emerging market in India"--

ISBN: 9781107146471 :NT3753

LCCN: 2016009597Subjects--Topical Terms:

591562
Credit
--Management.

LC Class. No.: HG3751 / .B214 2016

Dewey Class. No.: 332.1068/1

Managing portfolio credit risk in banks /
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245 1 0 $a Managing portfolio credit risk in banks / $c Arindam Bandyopadhyay.
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300 $a xxvii, 361 p. : $b ill. ; $c 24 cm.
504 $a Includes bibliographical references and index.
505 0 # $a 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.
520 # $a "Attempts to demystify various standard mathematical and statistical techniques that can be applied in measuring and managing portfolio credit risk in the emerging market in India"-- $c Provided by publisher.
650 # 0 $a Credit $x Management. $3 591562
650 # 0 $a Risk management. $3 559158
650 # 0 $a Banks and banking. $3 556379