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Book Cover
Book
Author Saunders, Anthony, 1949-

Title Credit risk measurement : new approaches to value at risk and other paradigms / Anthony Saunders, Linda Allen
Edition Second edition
Published New York : John Wiley, [2002]
©2002

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Location Call no. Vol. Availability
 MELB  332.120684 Sau/Crm 2002  AVAILABLE
Description xiii, 319 pages : illustrations ; 24 cm
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
Bibliography Includes bibliographical references (pages 258-275) and index
Subject Bank loans.
Bank management.
Credit -- Management.
Risk management.
Author Allen, Linda, 1954-
LC no. 2002005431
ISBN 047121910X cloth alkaline paper