ENGLISH

Internal Credit Risk Models: Capital Allocation and Performance Measurement

By Michael , K ONG

Book information

Publisher
Risk Books
Year
1999
ISBN
1899332030, 9781899332038
Open Library ID
OL9473012M
Language
english
Format
PDF
Filesize
3 MB (2837196 bytes)
Pages
372\343
Time added
2011-06-04 13:46:07

Description

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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