Credit risk management in and out of the financial crisis : new approaches to value at risk and other paradigms /

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Saunders, Anthony, 1949-
Otros Autores: Allen, Linda, 1954-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, NJ : Wiley, ©2010.
Edición:3rd ed.
Colección:Wiley finance series.
Temas:
Bank loans.
Bank management.
Credit > Management.
Risk management.
Prêts bancaires.
Banques > Gestion.
Crédit > Gestion.
Gestion du risque.
risk management.
Bank loans
Bank management
Credit > Management
Risk management
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Bubbles and crises : the global financial crisis of 2007-2009. Setting the stage for financial meltdown ; The three phases of the credit crisis ; The crisis and regulatory failure
  • Probability of default estimation. Loans as options : the Moody's KMV model ; Reduced form models : Kamakura's risk manager ; Other credit risk models
  • Estimation of other model parameters. A critical parameter : less given default ; The credit risk of portfolios and correlations
  • Putting the parameters together. The VAR approach : CreditMetrics and other models ; Stress testing credit risk models : algorithmics mark-to-future ; RAROC models
  • Credit risk transfer mechanisms. Credit derivatives ; Capital regulation.

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