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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
| 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 |
| Autore | Saunders Anthony <1949-> |
| Edizione | [3rd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2010 |
| Descrizione fisica | 1 online resource (399 p.) |
| Disciplina | 332.1/20684 |
| Altri autori (Persone) |
AllenLinda <1954->
SaundersAnthony <1949-> |
| Collana | Wiley finance series |
| Soggetto topico |
Bank loans
Bank management Credit - Management Risk management |
| ISBN |
1-282-68428-0
9786612684289 1-118-26798-2 0-470-62236-9 |
| Classificazione | 85.30 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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; Chapter 12: Credit Derivatives; Chapter 13: Capital Regulation; Notes; Bibliography; Index |
| Record Nr. | UNINA-9910140575803321 |
Saunders Anthony <1949->
|
||
| Hoboken, NJ, : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms / / Anthony Saunders, Linda Allen
| Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms / / Anthony Saunders, Linda Allen |
| Autore | Saunders Anthony <1949-> |
| Edizione | [3rd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2010 |
| Descrizione fisica | 1 online resource (399 p.) |
| Disciplina | 332.1/20684 |
| Altri autori (Persone) |
AllenLinda <1954->
SaundersAnthony <1949-> |
| Collana | Wiley finance series |
| Soggetto topico |
Bank loans
Bank management Credit - Management Risk management |
| ISBN |
1-282-68428-0
9786612684289 1-118-26798-2 0-470-62236-9 |
| Classificazione | 85.30 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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; Chapter 12: Credit Derivatives; Chapter 13: Capital Regulation; Notes; Bibliography; Index |
| Record Nr. | UNINA-9910824767803321 |
|
Saunders Anthony <1949->
|
||
| Hoboken, NJ, : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||