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Record Nr. |
UNINA9910140575803321 |
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Autore |
Saunders Anthony <1949-> |
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Titolo |
Credit risk measurement in and out of the financial crisis [[electronic resource] ] : new approaches to value at risk and other paradigms / / Anthony Saunders, Linda Allen |
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Pubbl/distr/stampa |
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Hoboken, NJ, : Wiley, c2010 |
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ISBN |
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1-282-68428-0 |
9786612684289 |
1-118-26798-2 |
0-470-62236-9 |
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Edizione |
[3rd ed.] |
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Descrizione fisica |
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1 online resource (399 p.) |
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Collana |
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Classificazione |
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Altri autori (Persone) |
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AllenLinda <1954-> |
SaundersAnthony <1949-> |
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Disciplina |
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Soggetti |
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Bank loans |
Bank management |
Credit - Management |
Risk management |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Credit Risk Measurement In and Out of the Financial Crisis, Third Edition: New Approaches to Value at Risk and Other Paradigms; Contents; List of Abbreviations; Preface; Part One: Bubbles and Crises: The Global Financial Crisis of 2007-2009; Chapter 1: Setting the Stage for Financial Meltdown; Chapter 2: The Three Phases of the Credit Crisis; Chapter 3: The Crisis and Regulatory Failure; Part Two: Probability of Default Estimation; Chapter 4: Loans as Options: The Moody's KMV Model; Chapter 5: Reduced Form Models: Kamakura's Risk Manager; Chapter 6: Other Credit Risk Models |
Part Three: Estimation of Other Model Parameters Chapter 7: A Critical Parameter: Loss Given Default; Chapter 8: The Credit Risk of Portfolios and Correlations; Part Four: Putting the Parameters Together; Chapter 9: The VAR Approach: Credit Metrics and Other Models; Chapter 10: Stress Testing Credit Risk Models: Algorithmics Mark-to-Future; Chapter 11: RAROC Models; Part Five: Credit Risk Transfer Mechanisms; |
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