Internal Credit Risk Models: Capital Allocation and Performance Measurement - Softcover

"An excellent book... practical rigorous, well-written and easy to understand" Angelo Arvanitis, Egnatia Bank "You will find no better guide to today's spirited debate over proper methods to measure credit risk. Michael Ong challenges risk managers and bank regulators alike as he leads an insightful review of the flaws of the current regulatory capital framework. His prose is direct and his analysis is thorough. Only a leading practitioner could speak convincingly of inadequate solutions, flawed frameworks, and irresponsible regulation...The book will become an essential guide to measuring credit risk."

This work provides a practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management. Topics covered include: default probabilities; expected and unexpected losses; time effects; default correlations; and loss distributions.