01573nam a2200217Ia 4500 0000000332 20251012174403.0 020405s2002 nyua b 001 0 eng 047121910X (cloth : alk. paper) 332.120684 SAU 2002 Credit risk measurement new approaches to value at risk and other paradigms Anthony Saunders, Linda Allen. 2nd ed. New York John Wiley 2002. xiii, 319p. ill. 24cm. 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 model s : 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. 2422 2422 0 0 0 0 KEM KEM 2012-12-07 1 0000000321 2022-12-09 2025-10-27 01:05:48 2025-10-27 2025-10-12 OS