Credit risk measurement 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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| Format: | eBook |
| Language: | English |
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Hoboken, N.J.
Wiley
2010
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| Edition: | 3rd ed |
| Series: | Wiley finance series
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| Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- Part Three: Estimation of Other Model ParametersChapter 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: CreditMetrics 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 Deriv
- 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 20072009; 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
- Includes bibliographical references and index