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Credit Risk Management & Basel II

Credit Risk Management & Basel II

Author: Mohan Bhatia
Publisher: Risk Books
ISBN: 9781904339434
Published In: September 2006
Format: Paperback
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

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Contents
Author

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With the entire financial sector across the globe working on the implementation of the 2004 Basel II Accord in some form and intensity there is much work to be done at bank level. Credit Risk Management & Basel II gives you the means to put in place the credit risk measurement and management framework, policies, procedures and practices that are needed.

As a unique implementation guide covering the entire spectrum of credit risk management, this book will assist you with your credit risk policy and help you to facilitate the establishment of risk processes and procedures.

Having assessed the vast amount of existing literature on this subject Bhatia found the bulk of it to be deficient in many areas, this book fills in the gaps for you by:

Approaching explanations from a non- mathematical perspective, with the spirit behind the mathematics and equations explained in an accessible manner,
Taking a holistic approach, with an end-to-end analysis of the credit risk problem; and
Absorbing and integrating best practices echoed by the Basel Accord.

An excellent framework for analysis and implementation is provided and this information will be beneficial for a wide range of people from risk managers and compliance officers to credit risk administration personnel, front and middle office personnel, and students of GARP or financial engineering.

About the Author

1. Introduction to Credit Risk Management

2. Probability of Default

3. Credit Scoring - Statistical and Empirical Default Models

4. Market Information Based Models

5. Credit Rating

6. Credit Risk Mitigation

7. Loss Given Default

8. Credit Risk Fortification

9. Credit Risk Portfolio Models

10. Validating the Risk Measurement Process

11. Software and Data

Index

Mohan Bhatia

Mohan Bhatia MS, FRM is Managing Principal heading Risk, Performance and Compliance Practice at Oracle Financial Services Consulting spearheading consulting for Basel II, Solvency II, Risk quantification and Compliance for BFSI. Mohan has provided consulting to tens of institutions in Americas, Europe, Middle East, Africa and Asia Pacific enabling them to measure and manage risk, performance and compliance. Mohan is co-editor of Journal of Risk Model Validation.