Internal Credit Risk Models: Capital Allocation and Performance Measurement - Softcover

Ong, Michael K.

 
9781899332038: Internal Credit Risk Models: Capital Allocation and Performance Measurement

Inhaltsangabe

This work provides a practical, accessible step-by-step ysis 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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