000			01724cam a2200265 4500
001			7323
005			20181127183409.0
008			020405s2002 nyua b 001 0 eng
010			_a 2002005431
020			_a047121910X (cloth : alk. paper)
082	0	0	_a332.1/2/0684 _221
100	1		_aSaunders, Anthony, _d1949-
245	1	0	_aCredit risk measurement : _bnew approaches to value at risk and other paradigms / _cAnthony Saunders, Linda Allen.
250			_a2nd ed.
260			_aNew York : _bJohn Wiley, _cc2002.
300			_axiii, 319 p. : _bill. ; _c24 cm.
504			_aIncludes bibliographical references (p. 258-275) and index.
505	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.
650		0	_aBank loans.
650		0	_aBank management.
650		0	_aCredit _xManagement.
650		0	_aRisk management.
700	1		_aAllen, Linda, _d1954-
999			_c6243 _d6243