Recovery Risk: The Next Challenge in Credit Risk Management

Sironi, Andrea,Resti, Andrea,Altman, Edward I.

ISBN 10: 1904339506 / ISBN 13: 9781904339502

Editore: Bloomberg Press, 2005

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Titolo: Recovery Risk: The Next Challenge in Credit ...

Casa editrice: Bloomberg Press

Data di pubblicazione: 2005

Legatura: Paperback

Condizione: Good

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Riassunto:

Provides a reference to loss given default (LGD) measurement and management, and the requirements of the Base II Capital Accord. Some of the topics covered in this book include: using multivariate models for the estimation of LGD; exploring the links between LGD and default risk; and, providing a Basel II compliant framework for LGD estimation.