Details

Credit Risk Measurement

New Approaches to Value at Risk and Other Paradigms
Wiley Finance, Band 154 2. Aufl.

von: Anthony Saunders, Linda Allen
59,99 €
Verlag:	Wiley
Format:	PDF
Veröffentl.:	06.10.2002
ISBN/EAN:	9780471274766
Sprache:	englisch
Anzahl Seiten:	336

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Titelbeschreibung

The most cutting-edge read on the pricing, modeling, and management of credit risk available The rise of credit risk measurement and the credit derivatives market started in the early 1990s and has grown ever since. For many professionals, understanding credit risk measurement as a discipline is now more important than ever. Credit Risk Measurement, Second Edition has been fully revised to reflect the latest thinking on credit risk measurement and to provide credit risk professionals with a solid understanding of the alternative approaches to credit risk measurement. This readable guide discusses the latest pricing, modeling, and management techniques available for dealing with credit risk. New chapters highlight the latest generation of credit risk measurement models, including a popular class known as intensity-based models. Credit Risk Measurement, Second Edition also analyzes significant changes in banking regulations that are impacting credit risk measurement at financial institutions. With fresh insights and updated information on the world of credit risk measurement, this book is a must-read reference for all credit risk professionals. Anthony Saunders (New York, NY) is the John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business at New York University. He holds positions on the Board of Academic Consultants of the Federal Reserve Board of Governors as well as the Council of Research Advisors for the Federal National Mortgage Association. He is the editor of the Journal of Banking and Finance and the Journal of Financial Markets, Instruments and Institutions. Linda Allen (New York, NY) is Professor of Finance at Baruch College and Adjunct Professor of Finance at the Stern School of Business at New York University. She also is author of Capital Markets and Institutions: A Global View (Wiley: 0471130494). Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.

Inhaltsverzeichnis

List of Abbreviations. 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 CreditPortfolio View 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 Management. Stress Testing Credit Risk Models: Algorithmics Mark-to-Future. Risk-Adjusted Return on Capital Models. Off-Balance-Sheet Credit Risk. Credit Derivatives. Bibliography. Notes. Index.

Autorenportrait

ANTHONY SAUNDERS is John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business at New York University. He holds positions on the Board of Academic Consultants of the Federal Reserve Board of Governors and the Council of Research Advisors for the Federal National Mortgage Association. He is an editor of the Journal of Banking and Finance and Financial Markets, Instruments, and Institutions. LINDA ALLEN is Professor of Finance at the Zicklin School of Business at Baruch College, CUNY, and Adjunct Professor of Finance at the Stern School of Business at New York University. She is also the author of Capital Markets and Institutions: A Global View (Wiley). She is an associate editor of the Journal of Banking and Finance, Journal of Economics and Business, Multinational Finance Journal, Journal of Multinational Financial Management, and The Financier.

Back cover copy

Praise for Credit Risk Measurement New Approaches to Value at Risk and Other Paradigms Second Edition "Saunders and Allen provide practitioners a comprehensive picture of the tools available for the notoriously difficult task of quantifying credit risk. Without neglecting the underlying theory, they zero in on the actual technologies being employed, offering unbiased views of their comparative strengths and limitations." -Martin Fridson, Chief High Yield Strategist, Merrill Lynch & Co. "Nowhere else can be found such a clear and rigorous presentation of the newest models, both original and second-generation, for analyzing stand-alone and portfolio credit asset risk models. This is a must read for any practitioner or scholar interested in applying or testing the latest entries in the credit risk modeling challenge or for attempting to build and test new approaches." -Edward I. Altman, Max L. Heine Professor of Finance, NYU Stern School of Business "A great introduction to the issues and concepts of credit risk management. The first edition offered a remarkably clear, 'big picture' perspective. This edition expands and updates the topics covered." -Mark Flannery, BankAmerica Eminent Scholar in Finance, University of Florida "Measuring credit risk accurately has become increasingly important as economies almost worldwide have slowed with an accompanying increase in defaults and default losses. At the same time, the widespread controversies surrounding the proposed changes in the Basel risk weights for bank credit risk exposures have highlighted the complexity of such computations. The second edition of this book makes a timely contribution in describing both the theory underlying credit risk measurement and the alternative approaches for estimating risk exposures empirically. The book should be read by bankers and credit analysts, as well as by bank supervisors and policymakers involved in bank risk regulation." -George Kaufman, John F. Smith Jr. Professor of Finance and Economics Loyola University Chicago "Since the welcome appearance of the first edition of Credit Risk Measurement in 1999, readers from academia as well as the workaday world of finance have benefited from its sweeping overview of the topic and detailed 'how-to' analysis. It is thus reassuring that bankers, insurers, professors, and students alike can again rely on Professors Saunders and Allen for their cogent update of this survival manual. It is now, more than ever, a 'must read.'" -Manuel Sebastiao, Member of the Board, Bank of Portugal