Abstract
One of the most significant innovations in the field of credit risk management over the past decade has been the development of increasingly sophisticated models to quantify the credit risk, and potential losses, embedded in portfolios of credit-sensitive transactions. This, as we have noted in previous chapters, provides the basis for allocating and managing regulatory and economic capital on a portfolio-wide basis and properly managing a diversified portfolio of credit exposure.
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© 2004 Erik Banks
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Banks, E. (2004). Credit Risk Portfolio Models. In: The Credit Risk of Complex Derivatives. Finance and Capital Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9781403946096_12
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DOI: https://doi.org/10.1057/9781403946096_12
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-51299-7
Online ISBN: 978-1-4039-4609-6
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