TY  - BOOK
AU  - Saunders,Anthony
AU  - Allen,Linda
TI  - Credit risk measurement: new approaches to value at risk and other paradigms 
SN  - 047121910X (cloth : alk. paper)
U1  - 332.1'2'0684 
PY  - 2002///
CY  - New York
PB  - John Wiley
KW  - Bank loans
KW  - Bank management
KW  - Credit
KW  - Management
KW  - Risk management
N1  - Includes bibliographical references (p. 258-275) and index; 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
UR  - http://www.loc.gov/catdir/bios/wiley044/2002005431.html
UR  - http://www.loc.gov/catdir/description/wiley036/2002005431.html
UR  - http://www.loc.gov/catdir/toc/wiley022/2002005431.html
ER  -