Credit Risk Measurement in and Out of the Financial Crisis New Approaches to Value at Risk and Other Paradigms Third Edition by Anthony Saunders ISBN 978-0470478349 0470478349

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Product details: 

ISBN 10:   0470478349

ISBN 13: 978-0470478349

Author:  Anthony Saunders 
A classic book on credit risk management is updated to reflect the current economic crisis

Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis.

Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans.

• Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them
• Concentrates on the underlying economics to objectively evaluate new models
• Includes new chapters on how to prevent another crisis from occurring

Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.

Table of contents: 

1. The Credit Risk of Portfolios and Correlations

2. The Three Phases of the Credit Crisis

3. The Crisis and Regulatory Failure

4. The Moody’s KMV Model

5. Kamakura’s Risk Manager

6. Other Credit Risk Models

7. Calculating the Forward Zero Curve for Loan Valuation

8. Algorithmics Mark-to-Future

9. RAROC Models

10. Credit Derivatives

11. Capital Regulation

12. Loss Given Default

13. CreditMetrics and Other Models

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Tags: Anthony Saunders, Credit Risk Measurement, the Financial Crisis, New Approaches, Value at Risk