銀行におけるポートフォリオの信用リスク管理 Managing Portfolio Credit Risk in Banks

Bandyopadhyay, Arindam

Cambridge University Press（2016/05発売）

• 製本 Hardcover:ハードカバー版／ページ数 374 p.
• 言語 ENG
• 商品コード 9781107146471
• DDC分類 332.10954

Full Description

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.

Contents

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.