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Credit risk measurement new approaches to value at risk and other paradigms

Anthony Saunders 1949- Linda Allen 1954-

Localização: FEA - Fac. Econ. Adm. Contab. e Atuária (332.1753 S257c )(Acessar)

Título:
Credit risk measurement new approaches to value at risk and other paradigms
Autor: Anthony Saunders 1949-
Linda Allen 1954-
Assuntos: Bank loans; Bank management; Credit -- Management; Risk management; EMPRÉSTIMO BANCÁRIO; ADMINISTRAÇÃO BANCÁRIA; ADMINISTRAÇÃO DE RISCO; ADMINISTRAÇÃO DE CRÉDITO
Notas: Includes bibliographical references (p. 258-275) and index
Descrição: 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
Editor: New York John Wiley
Data de criação/publicação: c2002
Formato: xiii, 319 p ill 24 cm.
Idioma: Inglês

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