[PDF.99ib] Risk Management in Credit Portfolios: Concentration Risk and Basel II (Contributions to Economics)

Risk Management in Credit Portfolios: Concentration Risk and Basel II (Contributions to Economics)

[PDF.yy89] Risk Management in Credit Portfolios: Concentration Risk and Basel II (Contributions to Economics)

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 | #3224122 in eBooks |  2010-09-30 |  2010-09-30 | File type: PDF

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||0 of 0 people found the following review helpful.| Worth reading|By Denis Surzhko, PhD, PRM|The book is obviously not for quants who are looking for a guides to calibrate single/multisectoral portfolio models - the book is fully dedicated to the problem of name and sector concentration adjustments to Basel ASRF model.

Name concentration part of the book is written excellent. Numerical results provided in the book are|From the Back Cover|Risk concentrations play a crucial role for the survival of individual banks and for the stability of the whole banking system. Thus, it is important from an economical and a regulatory perspective to properly measure and manage these concent

Risk concentrations play a crucial role for the survival of individual banks and for the stability of the whole banking system. Thus, it is important from an economical and a regulatory perspective to properly measure and manage these concentrations.
In this book, the impact of credit concentrations on portfolio risk is analyzed for different portfolio types and it is determined, in which cases the influence of concentration risk has to be taken into account. Furthe...

You can specify the type of files you want, for your gadget.Risk Management in Credit Portfolios: Concentration Risk and Basel II (Contributions to Economics)   |  Martin Hibbeln. I was recommended this book by a dear friend of mine.

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