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Internal Credit Risk Models
Capital Allocation and Performance Measurement
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Internal Credit Risk Models
Hardback ISBN: 9781899332038
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This work provides a practical, accessible stepbystep 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.
This work provides a practical, accessible stepbystep 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.
ISBN  1899332030 
ISBN13  9781899332038 
Publisher  Risk Books 
Format  Hardback 
Publication date  00/04/1999 
Pages  200 
Weight (grammes)  751.00 
Published in  United Kingdom 
Height (mm)  235 
Width (mm)  155 
Internal Credit Risk Models Capital Allocation and Performance Measurement

CONTENTS On Basle, Regulation and Market Responses Past and Present
Origins of the Regulatory Capital Framework Some Historical Perspectives Historical Rational for the Capital Accord Credit Risk, Regulatory Capital and the Basle Accord Evolutionary Nature of Capital Regulation Market Response: Clamour for Internal Credit Models Game Theory: Regulatory Capital Arbitrage Securitisation of Assets Concerns Raised by Securitisation Role of Credit Derivatives Summary of Federal Deposit Insurance Corporation Improvement Act 1991 Regulatory Capital Rules
Overview of Approach
Essential Components of the Internal Credit Risk Model Outline of Model Components Preview of Following Chapters
Modelling Credit Risk
Elements of Credit Risk Default Risk Measuring Default Probability  Empirical Method Measuring Default Probability  The Options Theory Approach Theoretical EDFs and Agency Ratings Credit Risk Models Value of Risk Debt States of the Default Process and Credit Migration Merton's Options Theory Approach to Risky Debt Default Probability, the Default Point and the Distance to Default Mathematical Preliminary The MultiState Default Process and the Probability Measure
Loan Portfolios and Expected Loss
Expected Loss Adjusted Exposure: Outstandings and Commitments Covenants Adjusted Exposure Usage Given Default Loss Given Default and the Risky Part of V1 Mathematical Derivation of Expected Loss Parameterising Credit Risk Models
Unexpected Loss
Causes of Unanticipated Risk Unexpected Loss Economic Capital and Unexpected Loss Derivation of Unexpected Loss (UL)
Portfolio Effects: Risk Contribution and Unexpected Losses
Comparing Expected Loss and Unexpected Loss The Analysis Horizon and Time to Maturity Portfolio Expected Loss Portfolio Unexpected Loss Risk Contribution Undiversifiable Risk Risk Contribution and Correlation of Default Variation in Asset Value due to Time Effects Derivation of Portfolio UL Derivation of Portfolio RCk
Correlation of Default and Credit Quality
Correlation of Credit Quality Correlation of Default Default Correlation Matrix and Some Important Observations Industry Index and Asset Correlation Estimating Asset Correlation ObligorSpecific Risk Further Generalisation to the Multifactor Case Some Comments and Suggestions Correlation of Default FirstPassage Time Model of Default Correlation Industry Default Correlation Matrix Correlation of Joint Credit Quality Movement
Loss Distribution for Credit Default Risk
Choosing the Proper Loss Distribution The Beta Distribution Economic Capital and Probability of Loss Extreme Events: Fitting the Tail
Monte Carlo Simulation of Loss Distribution
Simulating the Loss Distribution Some Observations From the Examples Why EVT and not just Simulation Mathematics of Loss Simulation Simulating Default and the Default Point
Extreme Value Theory
Fundamental Regimes for Losses Extreme Value Theory  Some Basics Generalised Pareto Distribution Convergence Criteria Thresholds Revisited The Mean Excess Function History Repeating by Alexander McNeil
RiskAdjusted Performance Measurement
RiskAdjusted Performance Measurement Raroc Defined Dissecting the Raroc Equation Approaches to Measurement: TopDown or BottomUp Revised RAPM
Implementing the Internal Model Across the Enterprise
Sample Portfolio Negative Raroc Parameterising and Calibrating the Internal Model Interpreting the Results of Raroc EnterpriseWide Risk Management and RAPM Sample Credit Portfolio On to the Next Steps
Credit Concentration and Required Spread
The Credit Paradox Causes of Concentration Risk Credit Concentration and Required Spread The Loan Pricing Calculator Mathematics of the Loan Pricing Calculator
Epilogue: The Next Steps
Internal Credit Risk Ratings Data Quality and Opaqueness Techniques for Assessing Extreme Loss Distributions RiskAdjusted Performance Measurement and RiskAdjusted Pricing MultiState Default Process, MarkingtoMarket and MultiYear Analysis Horizons Differences Between Vendor Models Integration of Market Risk and Credit Risk The MultiState Default Process Matching Transition Matrices to Historical Data
Appendix
Raroc Remodelled Tom Wilson
Many Happy Returns Sanjeev Punjabi
Reconcilable Differences H. Ugur Koyluoglu and Andrew Hickman
Refining Ratings Ross Miller
A Credit Risk Toolbox Angelo Arvanitis, Christopher Browne, Jon Gregory, and Richard Martin