Wiley Finance
2 primary works
Book 117
The single most important topic in finance today is the art and science of credit risk management. Growing dissatisfaction with traditional credit risk measurement methods has combined with regulations imposed by the Bank for International Settlements (BIS) in 1993 to send numerous financial institutions in search of alternative "internal model" approaches to measuring the credit risk of a loan or portfolio of loans. This has led to a raging debate over whether internal models can replace regulatory models, and which areas of credit risk measurement and management are most amenable to internal models. Much of this highly technical debate, however, has been inaccessible to the interested practitioner, student, economist, or regulator-until now. In Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, Anthony Saunders invites a wider audience into the debate. Simplifying many of the technical details and analytics surrounding internal models, he concentrates on their underlying economics and economic intuition.
Professor Saunders examines the approaches of these new models to the evaluation of individual borrower credit risk, portfolio credit risk, and derivative contracts. The alternative models explored include: Loans as options and the KMV model The VAR approach: J. P. Morgan's CreditMetrics and other models The macro simulation approach: the McKinsey and other models The risk-neutral valuation approach: KPMG's Loan Analysis System (LAS) and other models The insurance approach: mortality models and CSFP credit risk plus model Back testing and stress testing credit risk models RAROC models With its comprehensive coverage, summary, and comparison of new internal model approaches along with clear explanations of often complex material, Credit Risk Measurement is an indispensable resource for bankers, academics and students, economists, and regulators.
Professor Saunders examines the approaches of these new models to the evaluation of individual borrower credit risk, portfolio credit risk, and derivative contracts. The alternative models explored include: Loans as options and the KMV model The VAR approach: J. P. Morgan's CreditMetrics and other models The macro simulation approach: the McKinsey and other models The risk-neutral valuation approach: KPMG's Loan Analysis System (LAS) and other models The insurance approach: mortality models and CSFP credit risk plus model Back testing and stress testing credit risk models RAROC models With its comprehensive coverage, summary, and comparison of new internal model approaches along with clear explanations of often complex material, Credit Risk Measurement is an indispensable resource for bankers, academics and students, economists, and regulators.
Book 528
Credit Risk Management In and Out of the Financial Crisis
by Anthony Saunders and Linda Allen
Published 1 January 2010
A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans.
* Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them * Concentrates on the underlying economics to objectively evaluate new models * Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.
* Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them * Concentrates on the underlying economics to objectively evaluate new models * Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.