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Internal Credit Risk Models - Capital Allocation and Performance Measurement

Incisive Media, April 1999, Pages: 372


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This book provides a practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management and is the authoritative introduction to internal credit risk modelling and management for financial institutions.

Topics covered include:
- default probabilities
- expected and unexpected losses
- time effects
- default correlations
- loss distributions

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