Modelling Economic Capital

Modelling Economic Capital

Practical Credit-Risk Methodologies, Applications, and Implementation Details

Bolder, David Jamieson

Springer Nature Switzerland AG

05/2022

823

Dura

Inglês

9783030950958

15 a 20 dias

1442

Descrição não disponível.

Chapter 1. Introducing Economic Capital.- Part 1. Modelling Credit-Risk Economic Capital.- Chapter 2. Constructing a Practical Model.- Chapter 3. Finding Model Parameters.- Chapter 4. Implementing The Model.- Part 2. Loan Pricing.- Chapter 5. Approximating Economic Capital.- Chapter 6. Loan Pricing.- Part 3. Modelling Expected Credit Loss.- Chapter 7. Default-Probability Fundamentals.- Chapter 8. Building Stress Scenarios.- Chapter 9. Computing Loan Impairments.- Part 4. Other Practical Topics.- Chapter 10. Measuring Derivative Exposure.- Chapter 11. Seeking External Comparison.- Chapter 12. Thoughts on Stress Testing.

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Nordic Investment Bank;Risk Management;Risk Portfolio;Financial Modelling;Corporate Finance