Research Catalog

Title

Credit risk measurement : new approaches to value at risk and other paradigms / Anthony Saunders.

Author

Saunders, Anthony.

Publication

New York : Wiley, [1999], ©1999.

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Holdings

Details

Description

xii, 226 pages : illustrations; 24 cm.

Summary

• 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.
• 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.

Series Statement

Wiley frontiers in finance

Uniform Title

Wiley frontiers in finance.

Subject

• Bank loans
• Bank management
• Credit > Management
• Risk management

Bibliography (note)

• Includes bibliographical references (p. 205-213) and index.

Contents

1. Why New Approaches to Credit Risk Measurement and Management? -- 2. Traditional Approaches to Credit Risk Measurement -- 3. Loans as Options and the KMV Model -- 4. The VAR Approach: J. P. Morgan's CreditMetrics and Other Models -- 5. The Macro Simulation Approach: The McKinsey Model and Other Models -- 6. The Risk-Neutral Valuation Approach: KPMG's Loan Analysis System (LAS) and Other Models -- 7. The Insurance Approach: Mortality Models and the CSFP Credit Risk Plus Model -- 8. A Summary and Comparison of New Internal Model Approaches -- 9. An Overview of Modern Portfolio Theory and Its Application to Loan Portfolios -- 10. Loan Portfolio Selection and Risk Measurement -- 11. Back-Testing and Stress-Testing Credit Risk Models -- 12. RAROC Models -- 13. Off-Balance-Sheet Credit Risk -- 14. Credit Derivatives.

ISBN

0471350842 (cloth)

LCCN

99011514

OCLC

ocm40632589

Owning Institutions

Columbia University Libraries