Managing portfolio credit risk in banks /:
This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New York :
Cambridge University Press,
2016.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively. |
| Beschreibung: | 1 online resource |
| ISBN: | 9781316550915 1316550915 9781316759639 1316759636 |
Internformat
MARC
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| 100 | 1 | |a Bandyopadhyay, Arindam, |e author. | |
| 245 | 1 | 0 | |a Managing portfolio credit risk in banks / |c Arindam Bandyopadhyay. |
| 264 | 1 | |a New York : |b Cambridge University Press, |c 2016. | |
| 300 | |a 1 online resource | ||
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| 520 | |a This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively. | ||
| 505 | 0 | |a Cover; Title; Copyright; Dedication; Contents; Tables, Figures, Charts; Preface; Acknowledgements; Abbreviations; Chapter 1: Introduction to Credit Risk; Major Drivers of Credit Risk; Borrower Level Risk vs. Portfolio Risk; Importance of Management of Credit Risk in Banks; A. Market realities; B. Changing regulatory environment; C. Institution's risk vision; Role of Capital in Banks: The Difference between Regulatory Capital and Economic Capital; Credit Risk Management Framework; Credit Risk Management: Emerging Challenges for the Banking Sector in India; Summary; Key learning outcomes. | |
| 505 | 8 | |a Review questionsReferences; Chapter 2: Credit Rating Models; Types of Scoring Models; Different Rating Approaches; Expert Rating Systems; Internal Credit Rating System; One Tier vs. Two-tier Rating System; Rating Model for Project Finance (PF); Rating Model for SMEs; Risk Rating for Microfinance Institutions (MFIs); Country Risk Rating Model; External Credit Rating Systems; Brief History about Rating Agencies in India; Issue Rating vs. Issuer Rating; Risk Differentiation; Statistical Credit Scoring Models; Limitations of the Z-score Model; Default Prediction Model for Indian Corporates. | |
| 505 | 8 | |a Ratios usedLogit PD Prediction Model; Most Powerful Drivers of Default Risk in Corporate and SME loans; Statistical Scoring Model for SMEs; Credit Scoring Models for Retail Portfolio; How a Customized Retail Credit Scoring Model can be developed by Banks; Phase I; Phase II; Risk Parameters; Estimation Method; Key Decision Points Pertaining to Statistical Scoring Models; Examples of Retail Scoring Models; Agriculture Rating Model to Evaluate Risk in Farm Loans; Modern Methods; Market-based Corporate Default Risk Model; MKMV equations: Loans as options; Payoff for the Borrower and the Creditor. | |
| 505 | 8 | |a Market-based Measure to Assess the Banks' Risks: Distance to InsolvencyAdvantages of Market-based Model; Limitations of Structural Model; Reduced Form or Intensity-based Credit Scoring Models; Hybrid Credit Scoring Models; Summary; Key learning outcomes; Review questions; References; Chapter 3: Approaches for Measuring Probability of Default (PD); Methods for Estimating PD; Transition Matrix; Tasks for computing PDs; Method for estimation of PD through transition matrix; PD Estimation for a Low Default Portfolio (LDP); Cumulative Probability of Default (CPD). | |
| 505 | 8 | |a Pooled PD for Homogenous Buckets of Retail Exposures (Tracking the Numbers)Retail Pooled PD Approach; Frequency-based Measure; Exposure-based Rupee (or) weighted pooled PD; Summary; Key learning outcomes; Review questions; References; Chapter 4: Exposure at Default (EAD) and Loss Given Default (LGD); What is Exposure at Default (EAD)?; Critical components of exposure at default (EAD); Different approaches for estimating exposure at default (EAD); Description about Loan Facilities of Banks in India; Fund-based facilities; Non-fund-based facilities. | |
| 650 | 0 | |a Credit |x Management. |0 http://id.loc.gov/authorities/subjects/sh85033858 | |
| 650 | 0 | |a Risk management. |0 http://id.loc.gov/authorities/subjects/sh85114200 | |
| 650 | 0 | |a Banks and banking. |0 http://id.loc.gov/authorities/subjects/sh85011609 | |
| 650 | 2 | |a Risk Management |0 https://id.nlm.nih.gov/mesh/D012308 | |
| 650 | 6 | |a Crédit |x Gestion. | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 7 | |a risk management. |2 aat | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Banks and banking |2 fast | |
| 650 | 7 | |a Credit |x Management |2 fast | |
| 650 | 7 | |a Risk management |2 fast | |
| 758 | |i has work: |a Managing portfolio credit risk in banks (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGcCwFdwTVYdbbRMq4hHvd |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
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| adam_text | |
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| author | Bandyopadhyay, Arindam |
| author_facet | Bandyopadhyay, Arindam |
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| contents | Cover; Title; Copyright; Dedication; Contents; Tables, Figures, Charts; Preface; Acknowledgements; Abbreviations; Chapter 1: Introduction to Credit Risk; Major Drivers of Credit Risk; Borrower Level Risk vs. Portfolio Risk; Importance of Management of Credit Risk in Banks; A. Market realities; B. Changing regulatory environment; C. Institution's risk vision; Role of Capital in Banks: The Difference between Regulatory Capital and Economic Capital; Credit Risk Management Framework; Credit Risk Management: Emerging Challenges for the Banking Sector in India; Summary; Key learning outcomes. Review questionsReferences; Chapter 2: Credit Rating Models; Types of Scoring Models; Different Rating Approaches; Expert Rating Systems; Internal Credit Rating System; One Tier vs. Two-tier Rating System; Rating Model for Project Finance (PF); Rating Model for SMEs; Risk Rating for Microfinance Institutions (MFIs); Country Risk Rating Model; External Credit Rating Systems; Brief History about Rating Agencies in India; Issue Rating vs. Issuer Rating; Risk Differentiation; Statistical Credit Scoring Models; Limitations of the Z-score Model; Default Prediction Model for Indian Corporates. Ratios usedLogit PD Prediction Model; Most Powerful Drivers of Default Risk in Corporate and SME loans; Statistical Scoring Model for SMEs; Credit Scoring Models for Retail Portfolio; How a Customized Retail Credit Scoring Model can be developed by Banks; Phase I; Phase II; Risk Parameters; Estimation Method; Key Decision Points Pertaining to Statistical Scoring Models; Examples of Retail Scoring Models; Agriculture Rating Model to Evaluate Risk in Farm Loans; Modern Methods; Market-based Corporate Default Risk Model; MKMV equations: Loans as options; Payoff for the Borrower and the Creditor. Market-based Measure to Assess the Banks' Risks: Distance to InsolvencyAdvantages of Market-based Model; Limitations of Structural Model; Reduced Form or Intensity-based Credit Scoring Models; Hybrid Credit Scoring Models; Summary; Key learning outcomes; Review questions; References; Chapter 3: Approaches for Measuring Probability of Default (PD); Methods for Estimating PD; Transition Matrix; Tasks for computing PDs; Method for estimation of PD through transition matrix; PD Estimation for a Low Default Portfolio (LDP); Cumulative Probability of Default (CPD). Pooled PD for Homogenous Buckets of Retail Exposures (Tracking the Numbers)Retail Pooled PD Approach; Frequency-based Measure; Exposure-based Rupee (or) weighted pooled PD; Summary; Key learning outcomes; Review questions; References; Chapter 4: Exposure at Default (EAD) and Loss Given Default (LGD); What is Exposure at Default (EAD)?; Critical components of exposure at default (EAD); Different approaches for estimating exposure at default (EAD); Description about Loan Facilities of Banks in India; Fund-based facilities; Non-fund-based facilities. |
| ctrlnum | (OCoLC)949644122 |
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| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBA-ocn949644122 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-27T13:27:11Z |
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| isbn | 9781316550915 1316550915 9781316759639 1316759636 |
| language | English |
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| spelling | Bandyopadhyay, Arindam, author. Managing portfolio credit risk in banks / Arindam Bandyopadhyay. New York : Cambridge University Press, 2016. 1 online resource text txt rdacontent computer c rdamedia online resource cr rdacarrier This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively. Cover; Title; Copyright; Dedication; Contents; Tables, Figures, Charts; Preface; Acknowledgements; Abbreviations; Chapter 1: Introduction to Credit Risk; Major Drivers of Credit Risk; Borrower Level Risk vs. Portfolio Risk; Importance of Management of Credit Risk in Banks; A. Market realities; B. Changing regulatory environment; C. Institution's risk vision; Role of Capital in Banks: The Difference between Regulatory Capital and Economic Capital; Credit Risk Management Framework; Credit Risk Management: Emerging Challenges for the Banking Sector in India; Summary; Key learning outcomes. Review questionsReferences; Chapter 2: Credit Rating Models; Types of Scoring Models; Different Rating Approaches; Expert Rating Systems; Internal Credit Rating System; One Tier vs. Two-tier Rating System; Rating Model for Project Finance (PF); Rating Model for SMEs; Risk Rating for Microfinance Institutions (MFIs); Country Risk Rating Model; External Credit Rating Systems; Brief History about Rating Agencies in India; Issue Rating vs. Issuer Rating; Risk Differentiation; Statistical Credit Scoring Models; Limitations of the Z-score Model; Default Prediction Model for Indian Corporates. Ratios usedLogit PD Prediction Model; Most Powerful Drivers of Default Risk in Corporate and SME loans; Statistical Scoring Model for SMEs; Credit Scoring Models for Retail Portfolio; How a Customized Retail Credit Scoring Model can be developed by Banks; Phase I; Phase II; Risk Parameters; Estimation Method; Key Decision Points Pertaining to Statistical Scoring Models; Examples of Retail Scoring Models; Agriculture Rating Model to Evaluate Risk in Farm Loans; Modern Methods; Market-based Corporate Default Risk Model; MKMV equations: Loans as options; Payoff for the Borrower and the Creditor. Market-based Measure to Assess the Banks' Risks: Distance to InsolvencyAdvantages of Market-based Model; Limitations of Structural Model; Reduced Form or Intensity-based Credit Scoring Models; Hybrid Credit Scoring Models; Summary; Key learning outcomes; Review questions; References; Chapter 3: Approaches for Measuring Probability of Default (PD); Methods for Estimating PD; Transition Matrix; Tasks for computing PDs; Method for estimation of PD through transition matrix; PD Estimation for a Low Default Portfolio (LDP); Cumulative Probability of Default (CPD). Pooled PD for Homogenous Buckets of Retail Exposures (Tracking the Numbers)Retail Pooled PD Approach; Frequency-based Measure; Exposure-based Rupee (or) weighted pooled PD; Summary; Key learning outcomes; Review questions; References; Chapter 4: Exposure at Default (EAD) and Loss Given Default (LGD); What is Exposure at Default (EAD)?; Critical components of exposure at default (EAD); Different approaches for estimating exposure at default (EAD); Description about Loan Facilities of Banks in India; Fund-based facilities; Non-fund-based facilities. Credit Management. http://id.loc.gov/authorities/subjects/sh85033858 Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Risk Management https://id.nlm.nih.gov/mesh/D012308 Crédit Gestion. Gestion du risque. risk management. aat BUSINESS & ECONOMICS Finance. bisacsh Banks and banking fast Credit Management fast Risk management fast has work: Managing portfolio credit risk in banks (Text) https://id.oclc.org/worldcat/entity/E39PCGcCwFdwTVYdbbRMq4hHvd https://id.oclc.org/worldcat/ontology/hasWork Print version: 9781107146471 110714647X (DLC) 2016009597 (OCoLC)947269741 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1216176 Volltext |
| spellingShingle | Bandyopadhyay, Arindam Managing portfolio credit risk in banks / Cover; Title; Copyright; Dedication; Contents; Tables, Figures, Charts; Preface; Acknowledgements; Abbreviations; Chapter 1: Introduction to Credit Risk; Major Drivers of Credit Risk; Borrower Level Risk vs. Portfolio Risk; Importance of Management of Credit Risk in Banks; A. Market realities; B. Changing regulatory environment; C. Institution's risk vision; Role of Capital in Banks: The Difference between Regulatory Capital and Economic Capital; Credit Risk Management Framework; Credit Risk Management: Emerging Challenges for the Banking Sector in India; Summary; Key learning outcomes. Review questionsReferences; Chapter 2: Credit Rating Models; Types of Scoring Models; Different Rating Approaches; Expert Rating Systems; Internal Credit Rating System; One Tier vs. Two-tier Rating System; Rating Model for Project Finance (PF); Rating Model for SMEs; Risk Rating for Microfinance Institutions (MFIs); Country Risk Rating Model; External Credit Rating Systems; Brief History about Rating Agencies in India; Issue Rating vs. Issuer Rating; Risk Differentiation; Statistical Credit Scoring Models; Limitations of the Z-score Model; Default Prediction Model for Indian Corporates. Ratios usedLogit PD Prediction Model; Most Powerful Drivers of Default Risk in Corporate and SME loans; Statistical Scoring Model for SMEs; Credit Scoring Models for Retail Portfolio; How a Customized Retail Credit Scoring Model can be developed by Banks; Phase I; Phase II; Risk Parameters; Estimation Method; Key Decision Points Pertaining to Statistical Scoring Models; Examples of Retail Scoring Models; Agriculture Rating Model to Evaluate Risk in Farm Loans; Modern Methods; Market-based Corporate Default Risk Model; MKMV equations: Loans as options; Payoff for the Borrower and the Creditor. Market-based Measure to Assess the Banks' Risks: Distance to InsolvencyAdvantages of Market-based Model; Limitations of Structural Model; Reduced Form or Intensity-based Credit Scoring Models; Hybrid Credit Scoring Models; Summary; Key learning outcomes; Review questions; References; Chapter 3: Approaches for Measuring Probability of Default (PD); Methods for Estimating PD; Transition Matrix; Tasks for computing PDs; Method for estimation of PD through transition matrix; PD Estimation for a Low Default Portfolio (LDP); Cumulative Probability of Default (CPD). Pooled PD for Homogenous Buckets of Retail Exposures (Tracking the Numbers)Retail Pooled PD Approach; Frequency-based Measure; Exposure-based Rupee (or) weighted pooled PD; Summary; Key learning outcomes; Review questions; References; Chapter 4: Exposure at Default (EAD) and Loss Given Default (LGD); What is Exposure at Default (EAD)?; Critical components of exposure at default (EAD); Different approaches for estimating exposure at default (EAD); Description about Loan Facilities of Banks in India; Fund-based facilities; Non-fund-based facilities. Credit Management. http://id.loc.gov/authorities/subjects/sh85033858 Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Risk Management https://id.nlm.nih.gov/mesh/D012308 Crédit Gestion. Gestion du risque. risk management. aat BUSINESS & ECONOMICS Finance. bisacsh Banks and banking fast Credit Management fast Risk management fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85033858 http://id.loc.gov/authorities/subjects/sh85114200 http://id.loc.gov/authorities/subjects/sh85011609 https://id.nlm.nih.gov/mesh/D012308 |
| title | Managing portfolio credit risk in banks / |
| title_auth | Managing portfolio credit risk in banks / |
| title_exact_search | Managing portfolio credit risk in banks / |
| title_full | Managing portfolio credit risk in banks / Arindam Bandyopadhyay. |
| title_fullStr | Managing portfolio credit risk in banks / Arindam Bandyopadhyay. |
| title_full_unstemmed | Managing portfolio credit risk in banks / Arindam Bandyopadhyay. |
| title_short | Managing portfolio credit risk in banks / |
| title_sort | managing portfolio credit risk in banks |
| topic | Credit Management. http://id.loc.gov/authorities/subjects/sh85033858 Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Risk Management https://id.nlm.nih.gov/mesh/D012308 Crédit Gestion. Gestion du risque. risk management. aat BUSINESS & ECONOMICS Finance. bisacsh Banks and banking fast Credit Management fast Risk management fast |
| topic_facet | Credit Management. Risk management. Banks and banking. Risk Management Crédit Gestion. Gestion du risque. risk management. BUSINESS & ECONOMICS Finance. Banks and banking Credit Management Risk management |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1216176 |
| work_keys_str_mv | AT bandyopadhyayarindam managingportfoliocreditriskinbanks |