Transcription of Best Practices in Credit Risk Management - SAS
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Best Practices in Credit Risk Management - SAS
WHITE PAPERBest Practices in Credit Risk ManagementChallenges to and Opportunities for Rebuilding TrustSAS White PaperTable of ContentsCredit Risk Management Challenges and Opportunities ..1 Internal Rating Systems ..1 The Basel II Framework ..1 Internal Ratings ..3 LGD Modeling ..7 Exposure Calculation ..9 Internal Credit Portfolio Models ..10 Approaches to Modeling Credit Portfolios ..10 Risk-Adjusted Performance Measurement and Pricing ..14 Stress Testing ..16 Basel Committee Recommendations for Improved Stress Testing ..17 Credit Derivatives ..18 Credit Default Swaps ..18 Securitizations and Asset-Backed Securities ..19 Collateralized Debt Obligations ..20 Important Considerations for the Modeling of Securitizations ..22 Counterparty Exposure.
WHITE PAPER Best Practices in Credit Risk Management Challenges to and Opportunities for Rebuilding Trust
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