内部信用风险模型研究_资本分配和绩效度量
Internal Credit Risk Models: Capital Allocation and Performance Measurement
Micheal Ong 著, 李志军 译
This work provides a practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management. Topics covered include: default probabilities; expected and unexpected losses; time effects; default correlations; and loss distributions.