Managing portfolio credit risk in banks / Arindam Bandyopadhyay
Publication details: New Delhi: Cambridge University Press 2016.Description: xiv, 361 pISBN:- 9781107146471 (hardback : alk. paper)
- 332.106 81 Q6
Item type | Current library | Call number | Status | Date due | Barcode | Item holds |
---|---|---|---|---|---|---|
Books | Mahatma Gandhi University Library General Stacks | 332.106 81 Q6 (Browse shelf(Opens below)) | Available | 59338 |
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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