In recent years, a revolution has been brewing in the way credit risk is both measured and managed.
An edition of Credit risk measurement
(1999)
Credit risk measurement
new approaches to value at risk and other paradigms
2nd ed.
by Anthony Saunders
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Previews available in: English
Subjects
Credit, Management, Bank management, Bank loans, Risk management, Risk assessment, Credit, management, Risk Management, Prêts bancaires, Banques, Gestion, Crédit, Gestion du risque, BUSINESS & ECONOMICS, Banks & Banking, Finance - credit & loans, Financial risk management, Insurance & finance industries - management, Banks, Savings & loans, & credit unions - general & miscellaneousShowing 2 featured editions. View all 2 editions?
| Edition | Availability |
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1
Credit risk measurement: new approaches to value at risk and other paradigms
2002, John Wiley
in English
- 2nd ed.
047121910X 9780471219101
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2
Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, 1st Edition
June 18, 1999, Wiley
in English
0471350842 9780471350842
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WorldCat
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Book Details
Table of 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.
Edition Notes
Includes bibliographical references (p. 258-275) and index.
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| December 19, 2023 | Edited by ImportBot | import existing book |
| January 7, 2023 | Edited by MARC Bot | import existing book |
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