Internal Credit Risk Models: Capital Allocation and Performance Measurement
Michael K. Ong
Risk Books, 1999 - Administración de riesgos - 364 pages
This work provides a practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management. Topics covered include: default probabilities; expected and unexpected losses; time effects; default correlations; and loss distributions.
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Overview of Approach
Modelling Credit Risk
Loan Portfolios and Expected Loss
14 other sections not shown
adjusted exposure analysis horizon Appendix asset correlation asset value bank's beta distribution calculated Capital Accord capital adequacy capital multiplier capital ratios capital requirements chapter consider correlation of default counterparty credit derivatives credit migration credit portfolio credit quality credit rating credit risk models default correlation default point default probabilities default process default rate default risk economic capital equation estimate event of default example extreme value theory Figure firm framework industry internal credit risk internal model loan loss distribution loss given default market risk normal distribution obligor one-year parameters Pareto distribution portfolio unexpected loss pricing probability of default RAPM RAROC recovery rate regulatory capital risk capital risk contribution risk management risk measures risk weight risk-adjusted return risk-based capital risky asset risky debt securitisation Sharpe ratio Standard & Poor's standard deviation Table tail tail-fitting threshold tier 1 capital transaction unexpected loss variable volatility