MARC record from Internet Archive

LEADER: 02063cam a22003254a 4500
001 2002005431
003 DLC
005 20040621201750.0
008 020405s2002 nyua b 001 0 eng
010 $a 2002005431
020 $a047121910X (cloth : alk. paper)
040 $aDLC$cDLC$dDLC
042 $apcc
050 00 $aHG1641$b.S33 2002
082 00 $a332.1/2/0684$221
100 1 $aSaunders, Anthony,$d1949-
245 10 $aCredit risk measurement :$bnew approaches to value at risk and other paradigms /$cAnthony Saunders, Linda Allen.
250 $a2nd ed.
260 $aNew York :$bJohn Wiley,$cc2002.
300 $axiii, 319 p. :$bill. ;$c24 cm.
504 $aIncludes bibliographical references (p. 258-275) and index.
505 0 $aWhy 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.
650 0 $aBank loans.
650 0 $aBank management.
650 0 $aCredit$xManagement.
650 0 $aRisk management.
700 1 $aAllen, Linda,$d1954-
856 42 $3Contributor biographical information$uhttp://www.loc.gov/catdir/bios/wiley044/2002005431.html
856 42 $3Publisher description$uhttp://www.loc.gov/catdir/description/wiley036/2002005431.html
856 41 $3Table of contents$uhttp://www.loc.gov/catdir/toc/wiley022/2002005431.html