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Author:   Bogie Ozdemir ,  Peter Miu
Publisher:   McGraw-Hill Education - Europe
Imprint:   McGraw-Hill Professional
Dimensions:   Width: 19.60cm , Height: 2.80cm , Length: 24.10cm
Weight:   0.834kg
ISBN:  

9780071591300

ISBN 10:   0071591303
Pages:   480
Publication Date:   16 October 2008
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Book
Publisher's Status:   Out of Stock Indefinitely
Availability:   In Print  
Limited stock is available. It will be ordered for you and shipped pending supplier's limited stock.

Table of Contents

Introduction Chapter 1 Risk Ratings System Design Overview The Use of Credit Risk Assessment Templates in IRRS The Use of Quantitative Models in IRRS The Use of Hybrid Models in IRRS The Use of Retail Models in IRRS The Use of LGD Models in IRRS The Choice of LGD Discount Rate Discount Rate for Workout Recoveries: An Empirical Study Conclusions Chapter 2 Risk Ratings System Quantification Overview Risk Rating Philosophy Long-run PD Downturn LGD Downturn EAD Downturn LGD: A Case Study Establishing a Master Scale Stress Testing EAD Estimation Chapter 3 Validation of Internal Risk Rating System Overview Confirmation of the Conceptual Soundness and Initial Risk Quantification of the Design of the IRRS Confirmation of Risk Rating System Operations Annual Examination of the Overall Performance of the Risk Rating System Validation of Mappings between Internal and External Risk Rating Systems Annual Health Check Governance Conclusions Chapter 4 Pillar II, Challenges, and Dealing with Procyclicality Introduction Background Definitions Some Pillar II Implementation Issues Capital Planning and Capital Adequacy Assessment Framework with Respect to Pillar II Conclusions Notes Index About the Authors

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Author Information

Bogie Ozdemir is a Vice President in Standard & Poor's Risk Solutions. He has worked in different areas of risk management for more than ten years, most recently as a senior director in the Risk Analytics group of the Bank of Montreal. He has published numerous articles in The Journal of Credit Risk. Peter Miu is an Associate Professor of Finance and teaches financial institutions at DeGroote School of Business, McMaster University (Canada). He is also a consultant to Standard & Poor's Risk Solutions, where he advises financial institutions and financial regulators globally on the implementation of Basel II.

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