000			01573nam a2200217Ia 4500
001			0000000332
005			20251012174403.0
008			020405s2002 nyua b 001 0 eng
020			_a047121910X (cloth : alk. paper)
090	0	0	_a332.120684 _bSAU _c2002
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 _c2002.
300			_axiii, 319p. _bill. _c24cm.
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 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.
650		0	_aBank loans.
650		0	_aBank management.
650		0	_aCredit _xManagement.
650		0	_aRisk management.
999			_c2422 _d2422