Recovery Risk: The Next Challenge in Credit Risk Management

By Andrea Resti, Edward I. Altman, Andrea Sironi

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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.

Format:Paperback

Language:English

ISBN:1904339506

ISBN13:9781904339502

Release Date:January 2005

Publisher:Bloomberg Press

Length:364 Pages

Weight:0.51 lbs.

Dimensions:9.3" x 1.1" x 6.1"

Related Subjects

Business Business & Investing Economics

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Recovery Risk: The Next Challenge in Credit Risk Management

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