| Description |
1 online resource (xvi, 380 pages) : illustrations |
| Series |
Wiley finance series |
|
Wiley finance series.
|
| Bibliography |
Includes bibliographical references and index. |
| Contents |
Credit Risk Measurement In and Out of the Financial Crisis, Third Edition: New Approaches to Value at Risk and Other Paradigms; Contents; List of Abbreviations; Preface; Part One: Bubbles and Crises: The Global Financial Crisis of 20072009; Chapter 1: Setting the Stage for Financial Meltdown; Chapter 2: The Three Phases of the Credit Crisis; Chapter 3: The Crisis and Regulatory Failure; Part Two: Probability of Default Estimation; Chapter 4: Loans as Options: The Moody's KMV Model; Chapter 5: Reduced Form Models: Kamakura's Risk Manager; Chapter 6: Other Credit Risk Models. |
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Part Three: Estimation of Other Model ParametersChapter 7: A Critical Parameter: Loss Given Default; Chapter 8: The Credit Risk of Portfolios and Correlations; Part Four: Putting the Parameters Together; Chapter 9: The VAR Approach: CreditMetrics and Other Models; Chapter 10: Stress Testing Credit Risk Models: Algorithmics Mark-to-Future; Chapter 11: RAROC Models; Part Five: Credit Risk Transfer Mechanisms; Chapter 12: Credit Deriv. |
| Summary |
A classic book on credit risk management is updated to reflect the current economic crisis. Credit Risk Management In and Out of the Financial Crisi s 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. |
| Language |
English. |
| Subject |
Bank loans.
|
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Bank management.
|
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Credit -- Management.
|
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Risk management.
|
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Prêts bancaires. |
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Banques -- Gestion. |
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Crédit -- Gestion. |
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Gestion du risque. |
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risk management. |
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Bank loans |
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Bank management |
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Credit -- Management |
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Risk management |
| Added Author |
Allen, Linda, 1954-
|
|
Saunders, Anthony, 1949-
Credit risk measurement.
|
| Other Form: |
Print version: Saunders, Anthony, 1949- Credit risk measurement in and out of the financial crisis. 3rd ed. Hoboken, N.J. : Wiley, ©2010 9780470478349 (DLC) 2009044765 (OCoLC)460061996 |
| ISBN |
9781118267981 (electronic bk.) |
|
1118267982 (electronic bk.) |
|
9780470622360 (electronic bk.) |
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0470622369 (electronic bk.) |
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9780470622384 (electronic bk.) |
|
0470622385 (electronic bk.) |
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