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Credit risk measurement : new approaches to value at risk and other paradigms
Credit risk measurement : new approaches to value at risk and other paradigms
상세정보
- 자료유형
- 단행본
- International Standard Book Number
- 047121910X (cloth : alk. paper)
- Library of Congress Call Number
- HG1641-.S33 2002
- Dewey Decimal Classification Number
- 332.1/2/0684-21
- Main Entry-Personal Name
- Saunders, Anthony , 1949-
- Edition Statement
- 2nd ed.
- Publication, Distribution, etc. (Imprint
- New York : John Wiley, c2002.
- Physical Description
- xiii, 319 p. : ill. ; 24 cm.
- Bibliography, Etc. Note
- Includes bibliographical references (p. 258-275) and index.
- Formatted Contents Note
- 완전내용Why new approaches to credit risk measurement and management? -- Traditional approaches to credit risk measurement -- The BIS Basel international bank capital accord : January 2002 -- Loans as options : the KMV and Moody's models -- Reduced form models : KPMG's loan analysis system and Kamakura's risk manager -- The VAR approach : creditmetrics and other models -- The macro simulation approach : the Mckinsey model and other models -- The insurance approach : mortality models and the CSFP credit risk plus model -- A summary and comparison of new internal model approaches -- Overview of modern portfolio theory and its application to loan portfolios -- Loan portfolio selection and risk measurement -- Stress testing credit risk models : algorithmics mark-to-future -- Risk-adjusted return on capital models -- Off-balance sheet credit risk -- Credit derivatives.
- Subject Added Entry-Topical Term
- Bank loans.
- Subject Added Entry-Topical Term
- Bank management.
- Subject Added Entry-Topical Term
- Credit Management.
- Subject Added Entry-Topical Term
- Risk management.
- Added Entry-Personal Name
- Allen, Linda , 1954-
- Control Number
- joongbu:230267
MARC
008040920s2002 nyua b 001 0 eng■010 ▼a 2002005431
■020 ▼a047121910X (cloth : alk. paper)
■040 ▼aDLC▼cDLC▼dDLC
■042 ▼apcc
■05000▼aHG1641▼b.S33 2002
■08200▼a332.1/2/0684▼221
■090 ▼a332.12▼bS257c2
■1001 ▼aSaunders, Anthony▼d1949-
■24510▼aCredit risk measurement▼bnew approaches to value at risk and other paradigms▼cAnthony Saunders, Linda Allen.
■250 ▼a2nd ed.
■260 ▼aNew York▼bJohn Wiley▼cc2002.
■300 ▼axiii, 319 p.▼bill.▼c24 cm.
■504 ▼aIncludes bibliographical references (p. 258-275) and index.
■5050 ▼aWhy new approaches to credit risk measurement and management? -- Traditional approaches to credit risk measurement -- The BIS Basel international bank capital accord : January 2002 -- Loans as options : the KMV and Moody's models -- Reduced form models : KPMG's loan analysis system and Kamakura's risk manager -- The VAR approach : creditmetrics and other models -- The macro simulation approach : the Mckinsey model and other models -- The insurance approach : mortality models and the CSFP credit risk plus model -- A summary and comparison of new internal model approaches -- Overview of modern portfolio theory and its application to loan portfolios -- Loan portfolio selection and risk measurement -- Stress testing credit risk models : algorithmics mark-to-future -- Risk-adjusted return on capital models -- Off-balance sheet credit risk -- Credit derivatives.
■650 0▼aBank loans.
■650 0▼aBank management.
■650 0▼aCredit▼xManagement.
■650 0▼aRisk management.
■7001 ▼aAllen, Linda▼d1954-
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