Managing Portfolio Credit Risk in Banks

Gebonden Engels 2016 9781107146471
Verwachte levertijd ongeveer 9 werkdagen

Samenvatting

Credit risk is the risk resulting from the uncertainty that a borrower or a group of borrowers may be unwilling or unable to meet their contractual obligations as per the agreed terms. It is the largest element of risk faced by most banks and financial institutions. Potential losses due to high credit risk can threaten a bank's solvency. After the global financial crisis of 2008, the importance of adopting prudent risk management practices has increased manifold. This book attempts to demystify various standard mathematical and statistical techniques that can be applied to measuring and managing portfolio credit risk in the emerging market in India. It also provides deep insights into various nuances of credit risk management practices derived from the best practices adopted globally, with case studies and data from Indian banks.

Specificaties

ISBN13:9781107146471
Taal:Engels
Bindwijze:Gebonden
Aantal pagina's:374

Lezersrecensies

Wees de eerste die een lezersrecensie schrijft!

Inhoudsopgave

Tables; figures; charts; Preface; Acknowledgements; Abbreviations; 1. Introduction to credit risk; 2. Credit rating models; 3. Approaches for measuring Probability of Default (PD); 4. Exposure at Default (EAD) and Loss Given Default (LGD); 5. Validation and stress testing of credit risk models; 6. Portfolio assessment of credit risk: default correlation, asset correlation and loss estimation; 7. Economic capital and RAROC; 8. Basel II IRB approach of measuring credit risk regulatory capital; Index.

Managementboek Top 100

Rubrieken

    Personen

      Trefwoorden

        Managing Portfolio Credit Risk in Banks