Internal Credit Risk Models: Capital Allocation and Performance Measurement

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Michael K. Ong
Risk Books, 1999 - Administración de riesgos - 364 pages
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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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Contents

Overview of Approach
49
Modelling Credit Risk
61
Loan Portfolios and Expected Loss
93
Copyright

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