CREDIT SUISSE FIRST BOSTON资料：CreditRisk+：A CREDIT RISK MANAGEMENT FRAMEWORK

对做风险管理和BaselII的同学有一定的参考价值

1. Introduction to CREDITRISK+
1.1 Developments in Credit Risk Management
1.2 Components of CREDITRISK+
1.3 The CREDITRISK+ Model
1.4 Economic Capital
1.5 Applications of CREDITRISK+
1.6 Example Spreadsheet Implementation

2. Modelling Credit Risk
2.1 Risk Modelling Concepts
2.2 Types of Credit Risk
2.3 Default Rate Behaviour
2.4 Modelling Approach
2.5 Time Horizon for Credit Risk Modelling
2.6 Data Inputs to Credit Risk Modelling
2.7 Correlation and Incorporating the Effects of Background Factors
2.8 Measuring Concentration

3. The CREDITRISK+Model
3.1 Stages in the Modelling Process
3.2 Frequency of Default Events
3.3 Moving from Default Events to Default Losses
3.4 Concentration Risk and Sector Analysis
3.5 Multi-Year Losses for a Hold-to-Maturity Time Horizon
3.6 Summary of the CREDITRISK+ Model

4. Economic Capital for Credit Risk
4.1 Introduction to Economic Capital
4.2 Economic Capital for Credit Risk
4.3 Scenario Analysis

5. Applications of CREDITRISK+
5.1 Introduction
5.2 Provisioning for Credit Risk
5.3 Risk-Based Credit Limits
5.4 Portfolio Management