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FRM prior Internal Credit Risk Models by Michael Ong 2017-03-17

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  1. On Basle, Regulation and Market Responses Past and Present
  2. Overview of Approach
  3. Modelling Credit Risk
  4. Loan Portfolios and Expected Loss
  5. Unexpected Loss
  6. Portfolio Effects: Risk Contribution and Unexpected Losses
  7. Correlation of Default and Credit Quality
  8. Loss Distribution for Credit Default Risk
  9. Monte Carlo Simulation of Loss Distribution
  10. Extreme Value Theory
  11. Risk-Adjusted Performance Measurement
  12. Implementing the Internal Model Across the Enterprise
  13. Credit Concentration and Required Spread
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David Harper CFA FRM
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