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

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

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, Linda Allen
Creator
Contributor
Subject
Language
eng
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 2002
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorDate
1954-
http://library.link/vocab/relatedWorkOrContributorName
Allen, Linda
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, Linda Allen
Link
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. 258-275) and index
Contents
Why new approaches to credit risk measurement and management? -- Traditional approaches to credit risk measurement -- The BIS Basel international bank capital accord : January 2002 -- Loans as options : the KMV and Moody's models -- Reduced form models : KPMG's loan analysis system and Kamakura's risk manager -- The VAR approach : creditmetrics and other models -- The macro simulation approach : the Mckinsey model and other models -- The insurance approach : mortality models and the CSFP credit risk plus model -- A summary and comparison of new internal model approaches -- Overview of modern portfolio theory and its application to loan portfolios -- Loan portfolio selection and risk measurement -- Stress testing credit risk models : algorithmics mark-to-future -- Risk-adjusted return on capital models -- Off-balance sheet credit risk -- Credit derivatives
Dimensions
24 cm.
Edition
2nd ed.
Extent
xiii, 319 p.
Isbn
9780471219101
Isbn Type
(cloth : alk. paper)
Lccn
2002005431
Other physical details
ill.
System control number
  • 1910002-01okla_normanlaw
  • (SIRSI)1910002
  • (Sirsi) o49566338
  • (OCoLC)49566338
Label
Credit risk measurement : new approaches to value at risk and other paradigms, Anthony Saunders, Linda Allen
Link
Publication
Bibliography note
Includes bibliographical references (p. 258-275) and index
Contents
Why new approaches to credit risk measurement and management? -- Traditional approaches to credit risk measurement -- The BIS Basel international bank capital accord : January 2002 -- Loans as options : the KMV and Moody's models -- Reduced form models : KPMG's loan analysis system and Kamakura's risk manager -- The VAR approach : creditmetrics and other models -- The macro simulation approach : the Mckinsey model and other models -- The insurance approach : mortality models and the CSFP credit risk plus model -- A summary and comparison of new internal model approaches -- Overview of modern portfolio theory and its application to loan portfolios -- Loan portfolio selection and risk measurement -- Stress testing credit risk models : algorithmics mark-to-future -- Risk-adjusted return on capital models -- Off-balance sheet credit risk -- Credit derivatives
Dimensions
24 cm.
Edition
2nd ed.
Extent
xiii, 319 p.
Isbn
9780471219101
Isbn Type
(cloth : alk. paper)
Lccn
2002005431
Other physical details
ill.
System control number
  • 1910002-01okla_normanlaw
  • (SIRSI)1910002
  • (Sirsi) o49566338
  • (OCoLC)49566338

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