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20130219090000.0 |
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020405s2002 nyua b 001 0 eng |
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|a 047121910X (cloth : alk. paper)
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| 090 |
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|a 332.120684
|b SAU
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|a Saunders, Anthony,
|d 1949-
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|a Credit risk measurement :
|b new approaches to value at risk and other paradigms
|c Anthony Saunders, Linda Allen..
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| 250 |
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|a 2nd ed..
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| 260 |
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|a New York:
|b John Wiley,
|c 2002..
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| 300 |
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|a xiii, 319p.:
|b ill.;
|c 24cm..
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| 504 |
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|a Includes bibliographical references (p. 258-275) and index.
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| 505 |
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|a 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.
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| 650 |
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|a Bank loans.
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| 650 |
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|a Credit --
|x Management.
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| 650 |
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|a Bank management.
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| 650 |
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|a Risk management.
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| 700 |
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|a Allen, Linda(
|d 1954-)
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