FRM Handbook Ch 24: Managing Credit Risk
Book: Financial Risk Manager Handbook Plus Test Bank
Author: Philippe Jorion
ISBN: 978-0-470-90401-5
Chapter 24 is the payoff chapter for the whole credit block. You spent chapters estimating default probabilities, exposures, and recoveries. Now Jorion stacks them into a portfolio loss distribution and asks the question every credit committee avoids: how much capital do you actually need?