| 摘要註: |
This book introduces the fundamentals of retail credit risk management, provides a broad and applied investigation of the related modeling theory and methods, and explores the interconnections of risk management with other firm operations and industry regulation. The focus on retail (private individuals and small-medium enterprises) and the constant reference to the implications of the financial crisis for credit risk management, make the book distinctive. Furthermore, the involvement of academics, regulators and professionals from major global banks and consulting firms provides a global focus on the right balance between theory and applications. This book is aimed at MBA/Executive students who are planning to move into a career in professional credit risk management, and for professional risk managers looking for quantitative and updated methods of measurement and management in the area of retail credit risk. |
| 內容註: |
PART 1 REGULATORY FRAMEWORK Introduction; Anolli, M., Beccalli, E. PART 2 RISK TAKING: MEASUREMENT, PRICING AND MANAGEMENT The Ever-evolving Basel Accord; Guadalupi, D. Private Individuals: Credit Risk Modeling; Giannasca, C., Giordani, T. SMEs: Credit Risk Modeling; Giovannini, E. The Critical Model Parameter: LGD; Alghisi Manganello, E., Leucari, V. Model Validation; Ar�f, A., Gianturco, P. Risk Adjusted Performance Measures; Anolli, M. PART 3 PORTFOLIO CREDIT RISK: MEASUREMENT AND MANAGEMENT Portfolio Credit Risk Modeling; Bocchi, L., Bellini, T. Stress Testing, Capital Planning, and Risk Integration; Bellini, T, Bocchi, L. Portfolio Management; Giordani, T., Giannasca, C. PART 4 OPERATIONAL IMPLICATION IT Systems for Credit Risk Management; Traversini, R., Marmonti, A. A New Retail Credit Risk Management Approach to Cope with the Crisis; Merlin, F. |