Credit Risk Measurement New Approaches to Value-at-Risk and Other Paradigms

by Saunders, Anthony

• ISBN13: 9780471350842
• ISBN10: 0471350842
• Edition: 1st
• Format: Hardcover
• Copyright: 1999-07-02
• Publisher: Wiley

Summary

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.

Author Biography

Anthony Saunders 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 and 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.

Table of Contents

List of Abbreviations	xi
Why New Approaches to Credit Risk Measurement and Management?	1	(6)
Traditional Approaches to Credit Risk Measurement	7	(12)
Loans as Options and the KMV Model	19	(18)
The VAR Approach: J.P. Morgan's CreditMetrics and Other Models	37	(21)
The Macro Simulation Approach: The McKinsey Model and Other Models	58	(9)
The Risk-Neutral Valuation Approach: KPMG's Loan Analysis System (LAS) and Other Models	67	(15)
The Insurance Approach: Mortality Models and the CSFP Credit Risk Plus Model	82	(18)
A Summary and Comparison of New Internal Model Approaches	100	(7)
An Overview of Modern Portfolio Theory and Its Application to Loan Portfolios	107	(8)
Loan Portfolio Selection and Risk Measurement	115	(25)
Back-Testing and Stress-Testing Credit Risk Models	140	(11)
RAROC Models	151	(12)
Off-Balance-Sheet Credit Risk	163	(23)
Credit Derivatives	186	(19)
Bibliography	205	(10)
Index	215