01745cam a22002894a 450000100090000000300080000900500170001700800410003401000170007502000170009204000270010904200080013605000220014408200150016610000300018124501170021125000120032826000360034030000350037650400640041150508730047565000160134865000210136465000240138565000210140970000250143012731666BD-DhUL20190129163541.0020405s2002    nyua     b    001 0 eng    a  2002005431  a047121910X    aDLCcDLCdDLCdBD-DhUL  apcc00aHG1641b.S33 200200a332.7bSAC1 aSaunders, Anthony,d1949-10aCredit risk measurement :bnew approaches to value at risk and other paradigms /cAnthony Saunders, Linda Allen.  a2nd ed.  aNew York :bJohn Wiley,cc2002.  axiii, 319 p. :bill. ;c24 cm.  aIncludes bibliographical references (p. 258-275) and index.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 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. 0aBank loans. 0aBank management. 0aCreditxManagement. 0aRisk management.1 aAllen, Linda,d1954-