Recovery Risk: The Next Challenge in Credit Risk Management

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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.

Recovery Risk: The Next Challenge in Credit Risk Management 2005, Bloomberg Press

ISBN-13: 9781904339502

Hardcover

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