Internal Credit Risk Models: Capital Allocation and Performance Measurement
- ISBN-10
- 1899332030
- ISBN-13
- 9781899332038
- Pages
- 364
- Language
- English
- Published
- 1999
- Publisher
- Risk Books
- Author
- Michael K. Ong
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.
