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6 - Portfolio Assessment of Credit Risk: Default Correlation, Asset Correlation and Loss Estimation
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- Managing Portfolio Credit Risk in Banks
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- 23 February 2016, pp 235-275
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1 - Introduction to Credit Risk
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- 23 February 2016, pp 1-23
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Acknowledgements
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- 23 February 2016, pp xx-xxi
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Abbreviations
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Managing Portfolio Credit Risk in Banks
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- 23 February 2016
5 - Validation and Stress Testing of Credit Risk Models
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- 23 February 2016, pp 186-234
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Index
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- 23 February 2016, pp 355-361
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Frontmatter
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Preface
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8 - Basel II IRB Approach of Measuring Credit Risk Regulatory Capital
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- 23 February 2016, pp 318-354
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Dedication
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3 - Approaches for Measuring Probability of Default (PD)
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- 23 February 2016, pp 111-136
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Contents
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Tables, Figures, Charts
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- 23 February 2016, pp viii-xiv
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2 - Credit Rating Models
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- 23 February 2016, pp 24-110
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7 - Economic Capital and RAROC
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- 23 February 2016, pp 276-317
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4 - Exposure at Default (EAD) and Loss Given Default (LGD)
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- 23 February 2016, pp 137-185
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