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Credit Risk Measurement: New Approaches to Value-at-Risk and Other Paradigms
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 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
* Loans as options and the KMV model
* The VAR J. P. Morgan's CreditMetrics and other models
* The macro simulation the McKinsey and other models
* The risk-neutral valuation KPMG's Loan Analysis System (LAS) and other models
* The insurance 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.
In Credit Risk 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
* Loans as options and the KMV model
* The VAR J. P. Morgan's CreditMetrics and other models
* The macro simulation the McKinsey and other models
* The risk-neutral valuation KPMG's Loan Analysis System (LAS) and other models
* The insurance 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.
240 pages, Hardcover
First published June 18, 1999
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Displaying 1 - 2 of 2 reviews
November 30, 2017
New approaches, building blocks approach... Etc, etc.
Q: Chapter 1 describes recent conditions that have made advances in credit risk measurement both desirable and attainable. Chapter 2 describes traditional approaches. Chapter 3 includes comprehensive coverage of the proposed BIS New Capital Accord with commentary. The new models are described in Chapters 4 through 9, with portfolio models described in Chapters 10 and 11; In this edition, we more clearly delineate the options theoretic approach (Chapter 4) from the reduced form approach (Chapter 5). Back-testing models are described in Chapter 12; Applications to internal capital allocation using RAROC models are presented in Chapter 13 and off-balance-sheet credit risk measurement is covered in Chapters 14 and 15. (c)
Q: Chapter 1 describes recent conditions that have made advances in credit risk measurement both desirable and attainable. Chapter 2 describes traditional approaches. Chapter 3 includes comprehensive coverage of the proposed BIS New Capital Accord with commentary. The new models are described in Chapters 4 through 9, with portfolio models described in Chapters 10 and 11; In this edition, we more clearly delineate the options theoretic approach (Chapter 4) from the reduced form approach (Chapter 5). Back-testing models are described in Chapter 12; Applications to internal capital allocation using RAROC models are presented in Chapter 13 and off-balance-sheet credit risk measurement is covered in Chapters 14 and 15. (c)
May 3, 2011
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 luči novih direktiv zastareli. Kljub pomanjkljivostim bi morala biti knjiga obvezno čtivo vseh zaposlenih v banki, ki imajo opravka s krediti.
Displaying 1 - 2 of 2 reviews