Credit risk measurement
Subtitle: new approaches to value at risk and other paradigms
By: Anthony Saunders, Linda Allen.
Contributors: Allen, Linda, 1954-
Edition: 2nd ed.
Publisher: John Wiley
Published: 2002
Place of publication: New York
Language: eng
Number of pages: 319
Subjects: Bank loans; Bank management; Credit -- Management; Risk management
Notes: Includes bibliographical references (p. 258-275) and index.
Table of contents: title: Why new approaches to credit risk measurement and management?; title: Traditional approaches to credit risk measurement; title: The BIS Basel international bank capital accord : January 2002; title: Loans as options : the KMV and Moody's models; title: Reduced form models : KPMG's loan analysis system and Kamakura's risk manager; title: The VAR approach : creditmetrics and other models; title: The macro simulation approach : the Mckinsey model and other models; title: The insurance approach : mortality models and the CSFP credit risk plus model; title: A summary and comparison of new internal model approaches; title: Overview of modern portfolio theory and its application to loan portfolios; title: Loan portfolio selection and risk measurement; title: Stress testing credit risk models : algorithmics mark-to-future; title: Risk-adjusted return on capital models; title: Off-balance sheet credit risk; title: Credit derivatives.