Credit Risk Measurement New Approaches to Value-at-Risk and Other Paradigms

Innbundet / 1999 / Engelsk

Produktdetaljer

ISBN13
9780471350842
Publisert
1999
Utgiver
Vendor
John Wiley & Sons Inc
Aldersnivå
06, P
Språk
Product language
Engelsk
Format
Product format
Innbundet
Sider
240
Vekt
514 gr
Høyde
236 mm
Bredde
162 mm
Tykkelse
19 mm
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Forfatter

Credit Risk Measurement New Approaches to Value-at-Risk and Other Paradigms

Innbundet / 1999 / Engelsk
The single most important topic in finance today is the art and science of credit risk management. Growing dissatisfaction with traditional credit risk measurement methods has combined with regulations imposed by the Bank for International Settlements (BIS) in 1993 to send numerous financial institutions in search of alternative "internal model" approaches to measuring the credit risk of a loan or portfolio of loans. This has led to a raging debate over whether internal models can replace regulatory models, and which areas of credit risk measurement and management are most amenable to internal models. Much of this highly technical debate, however, has been inaccessible to the interested practitioner, student, economist, or regulator-until now. In Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, Anthony Saunders invites a wider audience into the debate. Simplifying many of the technical details and analytics surrounding internal models, he concentrates on their underlying economics and economic intuition. Professor Saunders examines the approaches of these new models to the evaluation of individual borrower credit risk, portfolio credit risk, and derivative contracts. The alternative models explored include: Loans as options and the KMV model The VAR approach: J. P. Morgan's CreditMetrics and other models The macro simulation approach: the McKinsey and other models The risk-neutral valuation approach: KPMG's Loan Analysis System (LAS) and other models The insurance approach: mortality models and CSFP credit risk plus model Back testing and stress testing credit risk models RAROC models With its comprehensive coverage, summary, and comparison of new internal model approaches along with clear explanations of often complex material, Credit Risk Measurement is an indispensable resource for bankers, academics and students, economists, and regulators.
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Addressing one of the hottest topics in finance today, this groundbreaking book offers an up-to-date overview of the latest credit market and financial innovations.
Why New Approaches to Credit Risk Measurement and Management? Traditional Approaches to Credit Risk Measurement. Loans as Options and the KMV Model. The VAR Approach: J.P. Morgana s CreditMetrics and Other Models. The Macro Simulation Approach: The McKinsey Model and Other Models. The Risk--Neutral Valuation Approach: KPMGa s Loan Analysis System (LAS) and Other Models. The Insurance Approach: Mortality Models and the CSFP Credit Risk Plus Model. A Summary and Comparison of New Internal Model Approaches. An Overview of Modern Portfolio Theory and Its Application to Loan Portfolios. Loan Portfolio Selection and Risk Measurement. Back--Testing and Stress-- Testing Credit Risk Models. RAROC Models. Off--Balance--Sheet Credit Risk. Credit Derivatives. Bibliography. Index.
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ANTHONY SAUNDERS is the John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business at New York University. He holds positions on the Board of Academic Consultants of the Federal Reserve Board of Governors and the Council of Research Advisors for the Federal National Mortgage Association. He is the Editor of the Journal of Banking and Finance and the Journal of Financial Markets, Instruments, and Institutions.
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Levering 3-20 dager

Produktdetaljer

ISBN13
9780471350842
Publisert
1999
Utgiver
Vendor
John Wiley & Sons Inc
Aldersnivå
06, P
Språk
Product language
Engelsk
Format
Product format
Innbundet
Sider
240
Vekt
514 gr
Høyde
236 mm
Bredde
162 mm
Tykkelse
19 mm
Se alle
Forfatter