Managing Portfolio Credit Risk in Banks

Managing Portfolio Credit Risk in Banks

by Arindam Bandyopadhyay


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Managing Portfolio Credit Risk in Banks by Arindam Bandyopadhyay

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.

Product Details

ISBN-13: 9781107146471
Publisher: Cambridge University Press
Publication date: 05/09/2016
Pages: 374
Product dimensions: 6.14(w) x 9.21(h) x 0.94(d)

About the Author

Arindam Bandyopadhyay is Associate Professor of Finance and Associate Dean (Research and Consultancy) at the National Institute of Bank Management (NIBM), Pune. He teaches risk management and research methodology subjects for NIBM's postgraduate course and has undertaken major consultancy research projects in risk management, banking, finance, and the housing market.

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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