Credit Risk Measurement (eBook)
336 Seiten
John Wiley & Sons (Verlag)
978-0-471-27476-6 (ISBN)
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.
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.
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.
Erscheint lt. Verlag | 6.10.2002 |
---|---|
Reihe/Serie | Wiley Finance Editions | Wiley Finance Editions |
Sprache | englisch |
Themenwelt | Recht / Steuern ► Wirtschaftsrecht |
Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre | |
Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management | |
Schlagworte | Finance & Investments • Finanz- u. Anlagewesen • Institutional & Corporate Finance • Institutionelle Finanzplanung • Preisbildung • Risikomanagement |
ISBN-10 | 0-471-27476-3 / 0471274763 |
ISBN-13 | 978-0-471-27476-6 / 9780471274766 |
Haben Sie eine Frage zum Produkt? |
Größe: 1,3 MB
Kopierschutz: Adobe-DRM
Adobe-DRM ist ein Kopierschutz, der das eBook vor Mißbrauch schützen soll. Dabei wird das eBook bereits beim Download auf Ihre persönliche Adobe-ID autorisiert. Lesen können Sie das eBook dann nur auf den Geräten, welche ebenfalls auf Ihre Adobe-ID registriert sind.
Details zum Adobe-DRM
Dateiformat: PDF (Portable Document Format)
Mit einem festen Seitenlayout eignet sich die PDF besonders für Fachbücher mit Spalten, Tabellen und Abbildungen. Eine PDF kann auf fast allen Geräten angezeigt werden, ist aber für kleine Displays (Smartphone, eReader) nur eingeschränkt geeignet.
Systemvoraussetzungen:
PC/Mac: Mit einem PC oder Mac können Sie dieses eBook lesen. Sie benötigen eine
eReader: Dieses eBook kann mit (fast) allen eBook-Readern gelesen werden. Mit dem amazon-Kindle ist es aber nicht kompatibel.
Smartphone/Tablet: Egal ob Apple oder Android, dieses eBook können Sie lesen. Sie benötigen eine
Geräteliste und zusätzliche Hinweise
Buying eBooks from abroad
For tax law reasons we can sell eBooks just within Germany and Switzerland. Regrettably we cannot fulfill eBook-orders from other countries.
aus dem Bereich