The Resource Credit risk measurement : new approaches to value at risk and other paradigms, Anthony Saunders

Credit risk measurement : new approaches to value at risk and other paradigms, Anthony Saunders

Label
Credit risk measurement : new approaches to value at risk and other paradigms
Title
Credit risk measurement
Title remainder
new approaches to value at risk and other paradigms
Statement of responsibility
Anthony Saunders
Creator
Subject
Language
eng
Summary
  • The single most important topic in finance today is the art and science of credit risk management. Growing dissatisfaction with traditional credit risk measurement methods has combined with regulations imposed by the Bank for International Settlements (BIS) in 1993 to send numerous financial institutions in search of alternative "internal model" approaches to measuring the credit risk of a loan or portfolio of loans. This has led to a raging debate over whether internal models can replace regulatory models, and which areas of credit risk measurement and management are most amenable to internal models. Much of this highly technical debate, however, has been inaccessible to the interested practitioner, student, economist, or regulator - until now
  • In Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, Anthony Saunders invites a wider audience into the debate. Simplifying many of the technical details and analytics surrounding internal models, he concentrates on their underlying economics and economic intuition. With its comprehensive coverage, summary, and comparison of new internal model approaches along with clear explanations of often complex material, Credit Risk Measurement is an indispensable resource for bankers, academics and students, economists, and regulators
Member of
Cataloging source
DLC
http://library.link/vocab/creatorDate
1949-
http://library.link/vocab/creatorName
Saunders, Anthony
Illustrations
illustrations
Index
index present
LC call number
HG1641
LC item number
.S33 1999
Literary form
non fiction
Nature of contents
bibliography
Series statement
Wiley frontiers in finance
http://library.link/vocab/subjectName
  • Bank loans
  • Bank management
  • Credit
  • Risk management
Label
Credit risk measurement : new approaches to value at risk and other paradigms, Anthony Saunders
Link
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. 205-213) and index
Contents
  • An overview of modern portfolio theory and its application to loan portfolios
  • Loan portfolio selection and risk measurement
  • Back-testing and stress-testing credit risk models
  • RAROC models
  • Off-balance-sheet credit risk
  • Credit derivatives
  • Why new approaches to credit risk measurement and management?
  • Traditional approaches to credit risk measurement
  • Loans as options and the KMV model
  • The VAR approach : J.P. Morgan's CreditMetrics and other models
  • The macro simulation approach : the McKinsey model and other models
  • The risk-neutral valuation approach : KPMG's loan analysis system (LAS) and other models
  • The insurance approach : mortality models and the CSFP credit risk plus model
  • A summary and comparison of new internal model approaches
Dimensions
24 cm.
Extent
xii, 226 p.
Isbn
9780471350842
Isbn Type
(cloth : acid-free paper)
Lccn
99011514
Other physical details
ill.
System control number
  • 1561113-01okla_normanlaw
  • (SIRSI)1561113
  • (Sirsi) o40632589
  • (OCoLC)40632589
Label
Credit risk measurement : new approaches to value at risk and other paradigms, Anthony Saunders
Link
Publication
Bibliography note
Includes bibliographical references (p. 205-213) and index
Contents
  • An overview of modern portfolio theory and its application to loan portfolios
  • Loan portfolio selection and risk measurement
  • Back-testing and stress-testing credit risk models
  • RAROC models
  • Off-balance-sheet credit risk
  • Credit derivatives
  • Why new approaches to credit risk measurement and management?
  • Traditional approaches to credit risk measurement
  • Loans as options and the KMV model
  • The VAR approach : J.P. Morgan's CreditMetrics and other models
  • The macro simulation approach : the McKinsey model and other models
  • The risk-neutral valuation approach : KPMG's loan analysis system (LAS) and other models
  • The insurance approach : mortality models and the CSFP credit risk plus model
  • A summary and comparison of new internal model approaches
Dimensions
24 cm.
Extent
xii, 226 p.
Isbn
9780471350842
Isbn Type
(cloth : acid-free paper)
Lccn
99011514
Other physical details
ill.
System control number
  • 1561113-01okla_normanlaw
  • (SIRSI)1561113
  • (Sirsi) o40632589
  • (OCoLC)40632589

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