Internal Credit Risk Models: Capital Allocation and Performance Measurement - ISBN:1899332030

Internal Credit Risk Models: Capital Allocation and Performance Measurement

Date: 30 April 2011, 06:57

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The authoritative guide on internal credit risk measurement and management for financial institutions.
With unequalled conviction, Ong shows how an internal model can be properly implemented by explaining the fundamentals of the quantitative building blocks that apply. With accessible mathematics and highly illustrative explanations he removes the obstacles to provide practical solutions that will inspire you to greater confidence.
In tandem with a historical overview of the market response to regulatory directives, discussion of the inadequacies of the current regulatory framework is of key concern throughout the book. Calling on more concise, global standardisation for the measurement of credit risk the author clarifies the ambiguity inherent in current regulation to arm you with the required tools for effective internal modelling.
Internal Credit Risk Models provides you with methods of approaches in order to ascertain credible credit loss accounts in the event of an extreme market occurrence. What’s more it discusses default probabilities, expected and unexpected losses, time effects, default correlations and extreme value theory.

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