01724cam a2200265 4500 7323 20181127183409.0 020405s2002 nyua b 001 0 eng 2002005431 047121910X (cloth : alk. paper) 332.1/2/0684 21 Saunders, Anthony, 1949- Credit risk measurement : new approaches to value at risk and other paradigms / Anthony Saunders, Linda Allen. 2nd ed. New York : John Wiley, c2002. xiii, 319 p. : ill. ; 24 cm. Includes bibliographical references (p. 258-275) and index. 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. Bank loans. Bank management. Credit Management. Risk management. Allen, Linda, 1954- 6243 6243 0 0 ddc 0 0 MAIN RTCLIB RTCLIB MAIN 11278 0 332.1 SAU 30011058 2018-11-27 00:00:00 2018-11-27 MAIN