Credit Risk Measurement: New Approaches to Value-at-Risk and Other ParadigmsISBN: 978-0-471-35084-2
Hardcover
240 pages
July 1999
 This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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Why New Approaches to Credit Risk Measurement and Management?
Traditional Approaches to Credit Risk Measurement.
Loans as Options and the KMV Model.
The VAR Approach: J.P. Morgan's CreditMetrics and Other Models.
The Macro Simulation Approach: The McKinsey Model and Other Models.
The Risk-Neutral Valuation Approach: KPMG's Loan Analysis System (LAS) and Other Models.
The Insurance Approach: Mortality Models and the CSFP Credit Risk Plus Model.
A Summary and Comparison of New Internal Model Approaches.
An Overview of Modern Portfolio Theory and Its Application to Loan Portfolios.
Loan Portfolio Selection and Risk Measurement.
Back-Testing and Stress- Testing Credit Risk Models.
RAROC Models.
Off-Balance-Sheet Credit Risk.
Credit Derivatives.
Bibliography.
Index.
Traditional Approaches to Credit Risk Measurement.
Loans as Options and the KMV Model.
The VAR Approach: J.P. Morgan's CreditMetrics and Other Models.
The Macro Simulation Approach: The McKinsey Model and Other Models.
The Risk-Neutral Valuation Approach: KPMG's Loan Analysis System (LAS) and Other Models.
The Insurance Approach: Mortality Models and the CSFP Credit Risk Plus Model.
A Summary and Comparison of New Internal Model Approaches.
An Overview of Modern Portfolio Theory and Its Application to Loan Portfolios.
Loan Portfolio Selection and Risk Measurement.
Back-Testing and Stress- Testing Credit Risk Models.
RAROC Models.
Off-Balance-Sheet Credit Risk.
Credit Derivatives.
Bibliography.
Index.
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