01651cam a2200241   4500001000500000005001700005008003900022010001700061020003600078082002100114100003000135245011700165250001200282260003600294300003500330504006400365505087300429650001601302650002101318650002401339650002101363700002501384732320181127183409.0020405s2002    nyua     b    001 0 eng  a  2002005431  a047121910X (cloth : alk. paper)00a332.1/2/06842211 aSaunders, Anthony,d1949-10aCredit risk measurement :bnew approaches to value at risk and other paradigms /cAnthony Saunders, Linda Allen.  a2nd ed.  aNew York :bJohn Wiley,cc2002.  axiii, 319 p. :bill. ;c24 cm.  aIncludes bibliographical references (p. 258-275) and index.0 aWhy 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. 0aBank loans. 0aBank management. 0aCreditxManagement. 0aRisk management.1 aAllen, Linda,d1954-