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AuthorSaunders, Anthony, 1949-TitleCredit risk measurement : new approaches to value at risk and other paradigms / Anthony Saunders, Linda Allen.Edition2nd ed.
PublishedNew York : John Wiley, c2002.FormatBook
Descriptionxiii, 319 p. : ill. ; 24 cm.

LinkContributor biographical information http://www.loc.gov/catdir/bios/wiley044/2002005431.html
Publisher description http://www.loc.gov/catdir/description/wiley036/2002005431.html
Table of contents http://www.loc.gov/catdir/toc/wiley022/2002005431.html
NotesIncludes bibliographical references (p. 258-275) and index.
ContentsWhy 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.
ISBN047121910X (cloth : alk. paper)SubjectBank loans.
Bank management.
Credit -- Management.
Risk management.
Empréstimo bancário.
Administração bancária.
Administração de risco.
Administração de crédito.
Risicodragend vermogen.
Bankwezen.
Add.EntryAllen, Linda, 1954-

<a href=?pst>p</a>St. Petersburg/Clearwater~1Circulation~2HG1641~2.S33 2002 p All itemsCover Image