Research on Internal Credit Risk Models: Capital Allocation and Performance Measurement

Author: Wang/Li Zhihui (USA)
Publisher:
Publish Date: 2004-11-01
Features: This is a classic work on credit risk measurement and management, revered by many professionals as an authoritative guide for building credit risk measurement models within financial institutions. It elaborates on the entire process of establishing internal credit risk models for banking institutions and provides in-depth discussions on how to determine economic capital requirements, risk-adjusted pricing levels, capital allocation plans, and risk-adjusted performance levels based on standardized internal risk measurement models, ensuring the smooth implementation of the model in enterprises. The author has extensive experience in the field of risk management and introduces knowledge and research findings on internal risk models from the perspective of a practitioner, using simple explanations and easily understandable quantitative methods. The book is highly practical and addresses the gap between theory and practice in credit risk model research and practice in China. This book is suitable for researchers, Ph.D. and Master's students in the field of finance, regulatory authorities, and practitioners in financial institutions.