Credit risk measurement : new approaches to value at risk and other paradigms /
by Saunders, Anthony; Allen, Linda.
Material type:
BookPublisher: New York : John Wiley, c2002Edition: 2nd ed.Description: xiii, 319 p. : ill. ; 24 cm.ISBN: 047121910X .Subject(s): Bank loans | Bank management | Credit -- Management | Risk management| Item type | Current location | Collection | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|---|
Books
|
Dhaka University Library General Stacks | Non Fiction | 332.7 SAC (Browse shelf) | Available | 421251 |
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 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.
There are no comments for this item.