Credit risk measurement : new approaches to value at risk and other paradigms
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| Language: | English |
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New York:
John Wiley,
2002..
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| Edition: | 2nd ed.. |
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Table of 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.