Credit risk measurement : new approaches to value at risk and other paradigms: 2e éd
- نوع فایل : کتاب
- زبان : انگلیسی
- مؤلف : Anthony Saunders; Linda Allen
- ناشر : New York : J. Wiley,
- چاپ و سال / کشور: 2002
- شابک / ISBN : 9780471219101
Description
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.
