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Credit risk measurement : new approaches to value at risk and other paradigms

紀錄類型:	書目-語言資料,印刷品 : 單行本
副題名:	new approaches to value at risk and other paradigms
作者:	SaundersAnthony,
合作者:	AllenLinda,
出版地:	New York
出版者:	John Wiley & Sons;
出版年:	c2002
版本:	2nd ed.
面頁冊數:	xiii, 319 p.ill. : 24 cm.;
標題:	Bank loans. -
標題:	Bank management. -
標題:	Credit - Management. -
標題:	Risk management. -
附註:	Includes bibliographical references(p. 258-275) and index.
ISBN:	0-471-21910-Xbound

Credit risk measurement : new approaches to value at risk and other paradigms
Saunders, Anthony

Credit risk measurement : new approaches to value at risk and other paradigms / Anthony Saunders, Linda Allen - 2nd ed.. - New York : John Wiley & Sons, c2002. - xiii, 319 p. ; ill. ; 24 cm..
Includes bibliographical references(p. 258-275) and index.Why new approaches to credit riskmeasurement and management? --Traditional approaches to credit riskmeasurement -- The BIS Baselinternational bank capital accord :January 2002 -- Loans as options : theKMV and Moody's models -- Reduced formmodels : KPMG's loan analysis system andKamakura's risk manager -- The VARapproach : creditmetrics and othermodels -- The macro simulation approach: the Mckinsey model and other models --The insurance approach : mortalitymodels and the CSFP credit risk plusmodel -- A summary and comparison of newinternal model approaches -- Overview ofmodern portfolio theory and itsapplication to loan portfolios -- Loanportfolio 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.
ISBN 0-471-21910-X
Bank loans.Bank management.Credit - Management.Risk management.

Allen, Linda

Credit risk measurement : new approaches to value at risk and other paradigms
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