 |
GetTextbooks.co.uk
Compare Prices & Save up to 90% |
|
|
|
| Login | Sign up | My Wish List |
 | | Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, 1st Edition by Anthony Saunders ISBN-10: 9780471350842 ISBN-10: 0-471-35084-2 ISBN-13: 9780471350842 ISBN-13: 978-0-471-35084-2 Hardcover 1999-06-18 Wiley Find Lowest Price |
Editorials | ||
Product Description The single most important topic in finance today is the art and science of credit risk management. Growing dissatisfaction with traditional credit risk measurement methods has combined with regulations imposed by the Bank for International Settlements (BIS) in 1993 to send numerous financial institutions in search of alternative "internal model" approaches to measuring the credit risk of a loan or portfolio of loans. This has led to a raging debate over whether internal models can replace regulatory models, and which areas of credit risk measurement and management are most amenable to internal models. Much of this highly technical debate, however, has been inaccessible to the interested practitioner, student, economist, or regulator-until now. In Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, Anthony Saunders invites a wider audience into the debate. Simplifying many of the technical details and analytics surrounding internal models, he concentrates on their underlying economics and economic intuition. Professor Saunders examines the approaches of these new models to the evaluation of individual borrower credit risk, portfolio credit risk, and derivative contracts. The alternative models explored include: * Loans as options and the KMV model * The VAR approach: J. P. Morgan's CreditMetrics and other models * The macro simulation approach: the McKinsey and other models * The risk-neutral valuation approach: KPMG's Loan Analysis System (LAS) and other models * The insurance approach: mortality models and CSFP credit risk plus model * Back testing and stress testing credit risk models * RAROC models 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. | ||
Reviews | ||
Don't waste your time Working in the banking industry I was turned on to this book by a colleague and what a colossal waste of time reading this was. The vast majority of this book's models are outdated and if Mr. Saunders was trying to write a historical piece he has accomplished that in spades. Nothing in this book is relevant and it is obvious the esteemed Mr. Saunders lent his name to a very poor book that he probably should have glanced through if not read. Linda Allen should probably get some real world experience because she is wasting people's time with her research. | ||
Good intro, but not enough details I have a copy of this book. It covers popular credit risk models and things like RAROC, etc. These concepts have been discussed extensively in the industry but I assume this is the first in the book form. The book does a good job in presenting basic ideas. However, if you are looking for technical details, you best bets are still the original technical documentations (CreditMetrics, CreditRisk+, KMV, etc). Nevertheless this book is a useful survey of the current stable of models. Besides, it is not very expensive. | ||
Good intro, but not enough details I have a copy of this book. It covers popular credit risk models and things like RAROC, etc. These concepts have been discussed extensively in the industry but I assume this is the first in the book form. The book does a good job in presenting basic ideas. However, if you are looking for technical details, you best bets are still the original technical documentations (CreditMetrics, CreditRisk+, KMV, etc). Nevertheless this book is a useful survey of the current stable of models. Besides, it is not very expensive. | ||
RAROC I like the part on RAROC and KMV, interesting boo | ||