Managing Portfolio Credit Risk in Banks
$131.00 USD
- Author: Arindam Bandyopadhyay, National Institute of Bank Management
- Date Published: No date available
- availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
- format: Adobe eBook Reader
- isbn: 9781316759233
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Credit risk is the risk resulting from the uncertainty that a borrower or a group of borrowers may be unwilling or unable to meet their contractual obligations as per the agreed terms. It is the largest element of risk faced by most banks and financial institutions. Potential losses due to high credit risk can threaten a bank's solvency. After the global financial crisis of 2008, the importance of adopting prudent risk management practices has increased manifold. This book attempts to demystify various standard mathematical and statistical techniques that can be applied to measuring and managing portfolio credit risk in the emerging market in India. It also provides deep insights into various nuances of credit risk management practices derived from the best practices adopted globally, with case studies and data from Indian banks.
Read more- Discusses various mathematical formulations and statistical techniques in measuring credit risk
- Covers various approaches adopted by the best banks
- Uses real-life bank data and cases to explain major credit risk drivers
Customer reviews
17th Oct 2024 by UName-1093382
I am honoured to be one of the few lucky ones who got a chance to be taught by him and even being mentored by him for my banking project. The lucidity and structure of the book are what attracts me to this text time and time again. The complexity of regulatory texts can be daunting for someone who is just stepping into the field of risk management, but this book makes that jump exponentially easier. Specifically, in the Indian banking context, the book is easily my top recommendation. A very specific thing, which I notice in books, is how well they have introduced the entire gamut of their content in the first couple of chapters. And I am extremely glad to write that Dr Arindam Sir has penned one of the most brilliant, comprehensive and easy-to-digest initial chapters ever. He nicely draws up the frameworks and contours within which the game is played, and then he goes on to colour them up with the remaining chapters. But I find myself coming back to his introduction and the first chapter each time I pick up the book. He often emphasizes in class how risk management is first a science and then an art. However, book writing is definitely an art, and especially for mildly esoteric topics such as Portfolio Credit Risk Management, where satisfactory texts are lacking, the artist's shoulders become even heavier. But he does absolute justice to the art, and his artistry definitely is a blessing for any earnest student or practitioner of the field. In two words, Must Read. Thank you, Dr Arindam Sir, for penning this much-needed book. This will be my companion for years to come, no doubt.
See all reviews17th Oct 2024 by UName-872923
This is an Excellent Book. Author had explained all the relevant points very clearly & in very simple language with examples. Easy to understand especially for the beginners in the field of Credit Risk. It seems Author has great command over the subject. This book is designed for both Students & working professionals.I would highly recommend this Book.
17th Oct 2024 by UName-872940
A great book to get a detailed insight and learn about credit risk management. The book gives a wholesome overview and a great learning exposure about credit risk management with detailed example which makes the learning experience seamless. I would recommend the book to all practicing bankers, corporates and individuals who takes interest in risk management as a whole and credit risk management in particular.
17th Oct 2024 by UName-872965
An extremely insightful read on all important concepts related to credit risk management in banks. The book is simple, easy to comprehend & replete with examples & studies. The author is a seasoned professional in the area which adds further value to the book.
17th Oct 2024 by UName-548752
Risk management is becoming increasingly vital to the banking industry even as it grows more complex. This book bring both key concepts and practical tools to understand and manage portfolio credit risk. A gem of a work in terms of a quantitative risk perspective on banking industry.This book is designed for Risk management students ,experienced risk managers and also for Risk Analysts and Risk Application IT developers.
17th Oct 2024 by UName-487032
This book is a wonderful resource for understanding the broader contours of credit scoring. It also provides in-dept discussion on the techniques. It is a significant contribution given there is dearth of public material on credit scoring. Moreover, it is contextualized with respect to Indian banking sector. It is very useful for practitioners and academicians.
Review was not posted due to profanity
×Product details
- format: Adobe eBook Reader
- isbn: 9781316759233
- availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
Table of Contents
Tables
figures
charts
Preface
Acknowledgements
Abbreviations
1. Introduction to credit risk
2. Credit rating models
3. Approaches for measuring Probability of Default (PD)
4. Exposure at Default (EAD) and Loss Given Default (LGD)
5. Validation and stress testing of credit risk models
6. Portfolio assessment of credit risk: default correlation, asset correlation and loss estimation
7. Economic capital and RAROC
8. Basel II IRB approach of measuring credit risk regulatory capital
Index.
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