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Look Inside Managing Portfolio Credit Risk in Banks
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Managing Portfolio Credit Risk in Banks

$125.00

  • Date Published: February 2016
  • availability: Available
  • format: Hardback
  • isbn: 9781107146471
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$ 125.00
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  • Credit risk is the risk resulting from the uncertainty that a borrower or a group of borrowers may be unwilling or unable to meet their contractual obligations as per the agreed terms. It is the largest element of risk faced by most banks and financial institutions. Potential losses due to high credit risk can threaten a bank's solvency. After the global financial crisis of 2008, the importance of adopting prudent risk management practices has increased manifold. This book attempts to demystify various standard mathematical and statistical techniques that can be applied to measuring and managing portfolio credit risk in the emerging market in India. It also provides deep insights into various nuances of credit risk management practices derived from the best practices adopted globally, with case studies and data from Indian banks.

    • Discusses various mathematical formulations and statistical techniques in measuring credit risk
    • Covers various approaches adopted by the best banks
    • Uses real-life bank data and cases to explain major credit risk drivers
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    Customer reviews

    15th Sep 2016 by IndranilDe

    This book is a wonderful resource for understanding the broader contours of credit scoring. It also provides in-dept discussion on the techniques. It is a significant contribution given there is dearth of public material on credit scoring. Moreover, it is contextualized with respect to Indian banking sector. It is very useful for practitioners and academicians.

    04th Mar 2017 by Alakcbz

    Risk management is becoming increasingly vital to the banking industry even as it grows more complex. This book bring both key concepts and practical tools to understand and manage portfolio credit risk. A gem of a work in terms of a quantitative risk perspective on banking industry.This book is designed for Risk management students ,experienced risk managers and also for Risk Analysts and Risk Application IT developers.

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    Product details

    • Date Published: February 2016
    • format: Hardback
    • isbn: 9781107146471
    • length: 374 pages
    • dimensions: 236 x 160 x 24 mm
    • weight: 0.62kg
    • availability: Available
  • Table of Contents

    Tables
    figures
    charts
    Preface
    Acknowledgements
    Abbreviations
    1. Introduction to credit risk
    2. Credit rating models
    3. Approaches for measuring Probability of Default (PD)
    4. Exposure at Default (EAD) and Loss Given Default (LGD)
    5. Validation and stress testing of credit risk models
    6. Portfolio assessment of credit risk: default correlation, asset correlation and loss estimation
    7. Economic capital and RAROC
    8. Basel II IRB approach of measuring credit risk regulatory capital
    Index.

  • Author

    Arindam Bandyopadhyay, National Institute of Bank Management
    Arindam Bandyopadhyay is Associate Professor of Finance and Associate Dean (Research and Consultancy) at the National Institute of Bank Management (NIBM), Pune. He teaches risk management and research methodology subjects for NIBM's postgraduate course and has undertaken major consultancy research projects in risk management, banking, finance, and the housing market.

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