Credit Risk Measurement: New Approaches to Value- At-Risk and Other Paradigms
Anthony Saunders
Opis lub recenzja książki
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. Morgan's CreditMetrics and Other Models. The Macro Simulation Approach: The McKinsey Model and Other Models. The Risk-Neutral Valuation Approach: KPMG'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.
Wydawnictwo: John Wiley & Sons Wydawnictwo, Ilość stron: 226, Oprawa: hardback, ISBN: 0471350842
Zobacz wszystkie książki autora: Anthony Saunders.
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