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The Standard & Poor's Guide to Measuring and Managing Credit Risk. McGraw-Hill. ISBN 978-0-07-141755-6. Darrell Duffie and Kenneth J. Singleton (2003). Credit Risk: Pricing, Measurement, and Management. Princeton University Press. ISBN 978-0-691-09046-7. Principles for the management of credit risk from the Bank for International Settlements
Middle Office maintains the following functions also: Product Control is primarily responsible for insuring traders mark their books to fair value — a key protection against rogue traders — and for "explaining" the daily P&L; with the "unexplained" component, of particular interest to risk managers. Credit Risk monitors the bank's debt ...
Consumer credit risk (also retail credit risk) is the risk of loss due to a consumer's failure or inability to repay on a consumer credit product, such as a mortgage, unsecured personal loan, credit card, overdraft etc. (the latter two options being forms of unsecured banking credit).
The Merton model, [1] developed by Robert C. Merton in 1974, is a widely used "structural" credit risk model. Analysts and investors utilize the Merton model to understand how capable a company is at meeting financial obligations, servicing its debt, and weighing the general possibility that it will go into credit default.
Risk sensitivity - Capital requirements based on internal estimates are more sensitive to the credit risk in the bank's portfolio of assets; Incentive compatibility - Banks must adopt better risk management techniques to control the credit risk in their portfolio to minimize regulatory capital; To use this approach, a bank must take two major ...
Download as PDF; Printable version; In other projects Wikidata item; ... Pages in category "Credit risk" The following 69 pages are in this category, out of 69 total.
Credit management is the process of granting credit, setting the terms on which it is granted, recovering this credit when it is due, and ensuring compliance with company credit policy, among other credit related functions.
Landmarks in XVA: From Counterparty Risk to Funding Costs and Capital. Risk Books. ISBN 978-1782722557. Roland Lichters, Roland Stamm and Donal Gallagher (2015). Modern Derivatives Pricing and Credit Exposure Analysis: Theory and Practice of CSA and XVA Pricing, Exposure Simulation and Backtesting. Palgrave Macmillan. ISBN 978-1137494832.