01857cam a22003254a 4500 12731666 BD-DhUL 20190129163541.0 020405s2002 nyua b 001 0 eng 2002005431 047121910X DLC DLC DLC BD-DhUL pcc HG1641 .S33 2002 332.7 SAC Saunders, Anthony, 1949- Credit risk measurement : new approaches to value at risk and other paradigms / Anthony Saunders, Linda Allen. 2nd ed. New York : John Wiley, c2002. xiii, 319 p. : ill. ; 24 cm. 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. Bank loans. Bank management. Credit Management. Risk management. Allen, Linda, 1954- 7 cbc orignew 1 ecip 20 y-gencatlg ddc BK 246032 246032 0 0 ddc 0 332_700000000000000_SAC 0 NFIC 374353 DUL DUL GEN 2006-08-21 Purchased 332.7 SAC 421251 2019-01-29 2019-01-29 BK