2020年FRM二级教材book3：Credit Risk Measurement and Management（信用风险计量和管理）.pdf

@ GARP 2020 ® EXAM PART II Credit Risk Measurement and Management Pearson Copyright© 2019, 2018, 2017, 2016, 2015, 2014, 2013, 2012, 2011 by Pearson Education, Inc. All rights reserved. Pearson Custom Edition. This copyright covers material w ritten express ly for this volume by the editor/s as well as the compilat ion itself. It does not cover the i ndividual se lections herein that first appeared elsewhe re. Permission to reprint these has been obta ined by Pearson Education, Inc. for th is edit ion only. Further rep roduction by any means, electronic or mechanical, including photocopying and recording, or by any information storage or retrieval system, must be arranged with the individual copyright holders noted. Grateful acknowledgment is made to the following sources for permission to reprint material copyrighted or controlled by them: "The redit Decision" and "T he redit Analyst," by Jonathan Golin and Philippe Delhaise, reprinted from The Bank Credit Analysis Handbook, 2nd edition (2013), by permission of John Wiley & Sons, Inc. "Ratings Assignment Methodologies," by Giacomo De Laurentis, Renato Maino, Luca Molteni, reprinted from Developing, Validating and Using Internal Ratings (2010), by permiss ion of John W iley & Sons, Inc. "Credit Risks and Derivatives," by Rene M. Stu lz, reprinted from Risk Management & Derivatives (2007), by permission of Cengage Learning. "Spread Risk and Default Intensity Models," "Portfolio redit Risk," and "Structured Credit Risk," by A llan Malz, rep rint ed from Financial Risk Management: Models, History, and Institutions (20 11 ), by permission of John Wi ley & Sons, Inc. "Counterparty Risk," "Netting, lose-out and Related Aspects," " ollate ral," " redit Exposure and Funding," "Counterparty