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Credit Risk Measurement: New Approaches to Value- At-Risk and Other Paradigms
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Credit Risk Measurement: New Approaches to Value- At-Risk and Other Paradigms

3.67  ·  Rating Details ·  6 Ratings  ·  1 Review
Recent years have seen enormous energy expended by bankers, regulators and academics, in an attempt to develop new approaches to measuring and managing risk. Credit risk management, one of the cutting edge topics in the contemporary world of finance, is the result of an explosion of aggressive development of new techniques. Saunders, editor of the Journal of Banking and Fi ...more
Hardcover, 226 pages
Published July 2nd 1999 by John Wiley & Sons (first published June 18th 1999)
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Matej Rigelnik
May 02, 2011 Matej Rigelnik rated it really liked it  ·  review of another edition
Relativno enostavno branje s področja, ki je sicer precej kompleksno. Avtor sistematično opiše skoraj vse poznane modele kreditnega tveganja (žal premalo podrobno). Poleg modelov kreditnega tveganja avtor predstavi tudi "moderne" nastavke upravljanja kreditnih portfeljev (markowitzeva teorija). Predstavljeni so tudi nastavki RaRoC (return on risk adjusted capital)analize. Pogrešal sem predvsem analizo distribucij z uporabo kopul. Prav tako se izračuni RWA nanašajo na Basel II standarde in so v l ...more
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