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Saunders, Anthony Credit Risk Measurement New Approaches to Value at Risk and Other Paradigms Wiley Professional Banking and Finance Series /Wiley Frontiers in Finance 1. Edition July 1999 61.90 Euro 1999. XIV, 226 Pages, Hardcover ISBN 978-0-471-35084-2 - John Wiley & Sons	Sample Chapter
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Short description Addressing one of the hottest topics in finance today, this groundbreaking book offers an up-to-date overview of the latest credit market and financial innovations. Written by an expert with more than twenty years in the field, it provides comprehensive coverage of new models that measure credit risk of individual and counter-party risk, as well as portfolios of loans. From the contents Why New Approaches to Credit Risk Measurement and Management? Traditional Approaches to Credit Risk Measurement. Loans as Options and the KMV Model. The VAR Approach: J.P. Morgan's CreditMetrics and Other Models. The Macro Simulation Approach: The McKinsey Model and Other Models. The Risk-Neutral Valuation Approach: KPMG's Loan Analysis System (LAS) and Other Models. The Insurance Approach: Mortality Models and the CSFP Credit Risk Plus Model. A Summary and Comparison of New Internal Model Approaches. An Overview of Modern Portfolio Theory and Its Application to Loan Portfolios. Loan Portfolio Selection and Risk Measurement. Back-Testing and Stress- Testing Credit Risk Models. RAROC Models. Off-Balance-Sheet Credit Risk. Credit Derivatives. Bibliography. Index.

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