Overview
The single most important topic in finance today is the art andscience of credit risk management. Growing dissatisfaction withtraditional credit risk measurement methods has combined withregulations imposed by the Bank for International Settlements (BIS)in 1993 to send numerous financial institutions in search ofalternative "internal model" approaches to measuring the creditrisk of a loan or portfolio of loans. This has led to a ragingdebate over whether internal models can replace regulatory models,and which areas of credit risk measurement and management are mostamenable to internal models. Much of this highly technical debate,however, has been inaccessible to the interested practitioner,student, economist, or regulator-until now.
In Credit Risk Measurement: New Approaches to Value at Risk andOther Paradigms, Anthony Saunders invites a wider audience into thedebate. Simplifying many of the technical details and analyticssurrounding internal models, he concentrates on their underlyingeconomics and economic intuition. Professor Saunders examines theapproaches of these new models to the evaluation of individualborrower credit risk, portfolio credit risk, and derivativecontracts. The alternative models explored include:
* Loans as options and the KMV model
* The VAR approach: J. P. Morgan's CreditMetrics and othermodels
* The macro simulation approach: the McKinsey and othermodels
* The risk-neutral valuation approach: KPMG's Loan Analysis System(LAS) and other models
* The insurance approach: mortality models and CSFP credit riskplus model
* Back testing and stress testing credit risk models
* RAROC models
With its comprehensive coverage, summary, and comparison of newinternal model approaches along with clear explanations of oftencomplex material, Credit Risk Measurement is an indispensableresource for bankers, academics and students, economists, andregulators.
In Credit Risk Measurement: New Approaches to Value at Risk andOther Paradigms, Anthony Saunders invites a wider audience into thedebate. Simplifying many of the technical details and analyticssurrounding internal models, he concentrates on their underlyingeconomics and economic intuition. Professor Saunders examines theapproaches of these new models to the evaluation of individualborrower credit risk, portfolio credit risk, and derivativecontracts. The alternative models explored include:
* Loans as options and the KMV model
* The VAR approach: J. P. Morgan's CreditMetrics and othermodels
* The macro simulation approach: the McKinsey and othermodels
* The risk-neutral valuation approach: KPMG's Loan Analysis System(LAS) and other models
* The insurance approach: mortality models and CSFP credit riskplus model
* Back testing and stress testing credit risk models
* RAROC models
With its comprehensive coverage, summary, and comparison of newinternal model approaches along with clear explanations of oftencomplex material, Credit Risk Measurement is an indispensableresource for bankers, academics and students, economists, andregulators.
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