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Palgrave Macmillan

Retail Credit Risk Management

  • Book
  • © 2013

Overview

Editors:
  1. Mario Anolli

    1. Università Cattolica del Sacro Cuore, Italy

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  2. Elena Beccalli

    1. Università Cattolica del Sacro Cuore, Italy

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  3. Tommaso Giordani

    1. Barclays Bank PLC, Europe RBB, Italy

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Table of contents (12 chapters)

  1. Front Matter

    Pages i-xv
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  2. Regulatory Framework

    1. Front Matter

      Pages 1-1
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    2. Introduction

      • Mario Anolli, Elena Beccalli
      Pages 3-9

  3. Risk Taking: Measurement, Pricing, and Management

    1. Front Matter

      Pages 11-11
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    2. The Ever-evolving Basel Accord

      • Damiano Guadalupi
      Pages 13-58

    3. Private Individuals: Credit Risk Modeling

      • Corrado Giannasca, Tommaso Giordani
      Pages 59-76

    4. SMEs: Credit Risk Modeling

      • Emanuele Giovannini
      Pages 77-90

    5. The Critical Model Parameter: LGD

      • Elisa Alghisi Manganello, Valentina Leucari
      Pages 91-108

    6. Model Validation

      • Antonio Arfé, Paolo Gianturco
      Pages 109-133

    7. Risk-Adjusted Performance Measures

      • Mario Anolli
      Pages 134-147

  4. Portfolio Credit Risk: Measurement and Management

    1. Front Matter

      Pages 149-149
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    2. Portfolio Credit Risk Modeling

      • Lorenzo Bocchi, Tiziano Bellini
      Pages 151-167

    3. Stress Testing, Capital Planning, and Risk Integration

      • Tiziano Bellini, Lorenzo Bocchi
      Pages 168-182

    4. Portfolio Management

      • Tommaso Giordani, Corrado Giannasca
      Pages 183-198

  5. Operational Implications

    1. Front Matter

      Pages 199-199
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    2. IT Systems for Credit Risk Management

      • Renzo Traversini, Anselmo Marmonti
      Pages 201-218

    3. A New Retail Credit Risk Management Approach to Cope with the Crisis

      • Francesco Merlin
      Pages 219-232

  6. Back Matter

    Pages 233-236
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Keywords

About this book

Introducing the fundamentals of retail credit risk management, this book provides a broad and applied investigation of the related modeling theory and methods, and explores the interconnections of risk management, by focusing on retail and the constant reference to the implications of the financial crisis for credit risk management.

Editors and Affiliations

  • Università Cattolica del Sacro Cuore, Italy

    Mario Anolli, Elena Beccalli

  • Barclays Bank PLC, Europe RBB, Italy

    Tommaso Giordani

About the editors

MARIO ANOLLI Università Cattolica del Sacro Cuore, Italy DAMIANO GUADALUPI Banca d'Italia CORRADO GIANNASCA Barclays Bank, Italy EMANUELE GIOVANNINI Unicredit Bank, Italy ELISA ALGHISI MANGANELLO UBI Banca and Barclays Bank VALENTINA LEUCARI Free-lance Consultant ANTONIO ARFE Deloitte Consulting PAOLO GIANTURCO Deloitte Consulting LORENZO BOCCHI Prometeia Group TIZIANO BELLINI Prometeia Group RENZO TRAVERSINI SAS Institute srl, Italy ANSELMO MARMONTI SAS Institute srl, Italy FRANCESCO MERLIN McKinsey & Co.

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