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Managing portfolio credit risk in banks / Arindam Bandyopadhyay

By: Publication details: New Delhi: Cambridge University Press 2016.Description: xiv, 361 pISBN:
  • 9781107146471 (hardback : alk. paper)
Subject(s): DDC classification:
  • 332.106 81 Q6
Online resources:
Contents:
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.
Summary: "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"--
List(s) this item appears in: New Additions March-April 2019
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books Books Mahatma Gandhi University Library General Stacks 332.106 81 Q6 (Browse shelf(Opens below)) Available 59338
Total holds: 0

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"--

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