new approaches to value at risk and other paradigms Saunders, Anthony 1949- creator Allen, Linda 1954- text bibliography nyu New York John Wiley c2002 2002 2nd ed. monographic eng

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xiii, 319 p. : ill. ; 24 cm. 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. Anthony Saunders, Linda Allen. Includes bibliographical references (p. 258-275) and index. Bank loans Bank management Credit Management Risk management 332.1/2/0684 047121910X (cloth : alk. paper) 2002005431 020405 20181127183409.0 7323