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Credit risk measurement : new approaches to value at risk and other paradigms
- 作者： Saunders, Anthony, 1949-
- 其他作者：
- 出版： New York : John Wiley
- 版本：2nd ed.
- 主題： Bank loans , Bank management , Credit--Management , Risk management
- ISBN： 047121910X (hbk.): US$69.95
- 資料類型: 圖書
- 內容註: 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
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讀者標籤：
- 系統號： 005241652 | 機讀編目格式
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