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Table Of Contents

1.1Developments in Credit Risk Management
1.2Components of CREDITRISK+
Components of CREDITRISK+
Introduction to CREDITRISK+ 1
1.3The CREDITRISK+Model
1.4Economic Capital
1.5Applications of CREDITRISK+
1.6Example Spreadsheet Implementation
2.1Risk Modelling Concepts
Modelling Credit Risk 2
2.2Types of Credit Risk
2.3Default Rate Behaviour
2.4Modelling Approach
2.5Time Horizon for Credit Risk Modelling
2.6Data Inputs to Credit Risk Modelling
2.7Correlation and Incorporating the Effects of Background Factors
2.8Measuring Concentration
The CREDITRISK+Model 3
3.1Stages in the Modelling Process
3.2Frequency of Default Events
3.3Moving from Default Events to Default Losses
3.4Concentration Risk and Sector Analysis
Economic Capital for Credit Risk 4
4.3Scenario Analysis
5.1Introduction
5.2Provisioning for Credit Risk
Applications of CREDITRISK+ 5
5.2.4Provisioning for Different Business Lines
5.3Risk-Based Credit Limits
5.4Portfolio Management
A1Overview of this Appendix
A2Default Events with Fixed Default Rates
A3Default Losses with Fixed Default Rates
A4Loss Distribution with Fixed Default Rates
A5Application to Multi-Year Losses
A6Default Rate Uncertainty
A7Sector Analysis
A8Default Events with Variable Default Rates
A9Default Losses with Variable Default Rates
A10Loss Distribution with Variable Default Rates
A11Convergence of Variable Default Rate Case to Fixed Default Rate Case
A12General Sector Analysis
A13Risk Contributions and Pairwise Correlation
B1Example Spreadsheet-Based Implementation
B2Example Portfolio and Static Data
B3Example use of the Spreadsheet Implementation
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Credit Risk

Credit Risk

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Published by Mayra Galvez

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Published by: Mayra Galvez on Apr 19, 2012
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08/10/2012

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