Description

Book Synopsis
Addressing one of the hottest topics in finance today, this groundbreaking book offers an up-to-date overview of the latest credit market and financial innovations.

Table of Contents
Why New Approaches to Credit Risk Measurement and Management?

Traditional Approaches to Credit Risk Measurement.

Loans as Options and the KMV Model.

The VAR Approach: J.P. Morgan's CreditMetrics and Other Models.

The Macro Simulation Approach: The McKinsey Model and Other Models.

The Risk-Neutral Valuation Approach: KPMG's Loan Analysis System (LAS) and Other Models.

The Insurance Approach: Mortality Models and the CSFP Credit Risk Plus Model.

A Summary and Comparison of New Internal Model Approaches.

An Overview of Modern Portfolio Theory and Its Application to Loan Portfolios.

Loan Portfolio Selection and Risk Measurement.

Back-Testing and Stress- Testing Credit Risk Models.

RAROC Models.

Off-Balance-Sheet Credit Risk.

Credit Derivatives.

Bibliography.

Index.

Credit Risk Measurement New Approaches to

    Product form

    A Hardback by Anthony Saunders

    £41.25

    Includes FREE delivery

    RRP £55.00 – you save £13.75 (25%)

    Order before 4pm today for delivery by Tue 15 Sep 2026.

    1 in stock

      Trusted by thousands of customers. See 2,385+ Customer Reviews

      View other formats and editions of Credit Risk Measurement New Approaches to by Anthony Saunders

      Book details

      Publisher John Wiley & Sons Inc
      Published 15 July 1999
      ISBN-13 9780471350842
      978-0471350842
      ISBN-10 0471350842
      Also in:
      Credit and credit institutions Finance and accounting

      Description

      Book Synopsis
      Addressing one of the hottest topics in finance today, this groundbreaking book offers an up-to-date overview of the latest credit market and financial innovations.

      Table of Contents
      Why New Approaches to Credit Risk Measurement and Management?

      Traditional Approaches to Credit Risk Measurement.

      Loans as Options and the KMV Model.

      The VAR Approach: J.P. Morgan's CreditMetrics and Other Models.

      The Macro Simulation Approach: The McKinsey Model and Other Models.

      The Risk-Neutral Valuation Approach: KPMG's Loan Analysis System (LAS) and Other Models.

      The Insurance Approach: Mortality Models and the CSFP Credit Risk Plus Model.

      A Summary and Comparison of New Internal Model Approaches.

      An Overview of Modern Portfolio Theory and Its Application to Loan Portfolios.

      Loan Portfolio Selection and Risk Measurement.

      Back-Testing and Stress- Testing Credit Risk Models.

      RAROC Models.

      Off-Balance-Sheet Credit Risk.

      Credit Derivatives.

      Bibliography.

      Index.

      Recently viewed products

      © 2026 Book Curl

        • American Express
        • Apple Pay
        • Diners Club
        • Discover
        • Google Pay
        • Maestro
        • Mastercard
        • PayPal
        • Shop Pay
        • Union Pay
        • Visa

        Login

        Forgot your password?

        Don't have an account yet?
        Create account