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

By: Saunders, Anthony, 1949-Contributor(s): Allen, Linda, 1954-Material type: TextTextLanguage: English Publisher: New York : John Wiley, c2002Edition: 2nd edDescription: xiii, 319 p. : ill. ; 24 cmISBN: 047121910X (cloth : alk. paper)Subject(s): Bank loans | Bank management | Credit -- Management | Risk managementDDC classification: 332.1'2'0684 Online resources: Click here to access online | Click here to access online | Click here to access online
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.
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Books Institute of Public Enterprise, Library
S Campus 		Donation RBI 332.1'2'0684 SAU (Browse shelf) Available 44798

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.

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