Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms
- نوع فایل : کتاب
- زبان : انگلیسی
- مؤلف : Anthony Saunders; Linda Allen
- ناشر : Hoboken, N.J. : Wiley
- چاپ و سال / کشور: 2010
- شابک / ISBN : 9780470478349
Description
List of Abbreviations. Preface. PART ONE: Bubbles and Crises: The Global Financial Crisis of 2007-2009. CHAPTER 1: Setting the Stage for Financial Meltdown. Introduction. The Changing Nature of Banking. Reengineering Financial Institutions and Markets. Summary. Appendix 1.1: Ratings Comparisons for the Three Major Rating Agencies. CHAPTER 2: The Three Phases of the Credit Crisis. Introduction. Bursting of the Credit Bubble. Phase 1: Credit Crisis in the Mortgage Market. Phase 2: The Crisis Spreads-Liquidity Risk. Phase 3: The Lehman Failure-Underwriting and Political Intervention Risk. Summary. CHAPTER 3: The Crisis and Regulatory Failure. Introduction. Crisis Intervention. Looking Forward: Restructuring Plans. Summary. PART TWO: Probability of Default Estimation. CHAPTER 4: Loans as Options: The Moody's KMV Model. Introduction. The Link between Loans and Options. TheMoody's KMV Model. Testing the Accuracy of EDFTM Scores. Critiques of Moody's KMV EDFTM Scores. Summary. Appendix 4.1: Merton's Valuation Model. Appendix 4.2: Moody's KMV RiskCalc. CHAPTER 5: Reduced Form Models: Kamakura's Risk Manager. Introduction. Deriving Risk-Neutral Probabilities of Default. Generalizing the Discrete Model of Risky Debt Pricing. The Loss Intensity Process. Kamakura's Risk Information Services (KRIS). Determinants of Bond Spreads. Summary. Appendix 5.1: Understanding a Basic Intensity Process. CHAPTER 6: Other Credit Risk Models. Introduction. Credit Scoring Systems. Mortality Rate Systems. Artificial Neural Networks. Comparison of Default Probability Estimation Models. Summary. PART THREE: Estimation of Other Model Parameters. CHAPTER 7: A Critical Parameter: Loss Given Default. Introduction. Academic Models of LGD. Disentangling LGD and PD. Moody's KMV's Approach to LGD Estimation. Kamakura's Approach to LGD Estimation. Summary. CHAPTER 8: The Credit Risk of Portfolios and Correlations. Introduction. Modern Portfolio Theory (MPT): An Overview. Applying MPT to Nontraded Bonds and Loans. Estimating Correlations across Nontraded Assets. Moody's KMV's Portfolio Manager. Kamakura and Other Reduced Form Models. Summary. PART FOUR: Putting the Parameters Together. CHAPTER 9: The VAR Approach: CreditMetrics and Other Models. Introduction. The Concept of Value at Risk. Capital Requirements. Technical Issues and Problems. The Portfolio Approach in CreditMetrics. Summary. Appendix 9.1: Calculating the Forward Zero Curve for Loan Valuation. Appendix 9.2: Estimating Unexpected Losses Using Extreme Value Theory. Appendix 9.3: The Simplified Two-Asset Subportfolio Solution to the N-Asset Portfolio Case. Appendix 9.4: CreditMetrics and Swap Credit Risk. CHAPTER 10: Stress Testing Credit Risk Models: Algorithmics Mark-to-Future. Introduction. Back-Testing Credit Risk Models. Using the Algorithmics Mark-to-Future Model. Stress Testing U.S. Banks in 2009. Summary. CHAPTER 11: RAROC Models. Introduction. What Is RAROC? RAROC, ROA, and RORAC. Alternative Forms of RAROC. The RAROC Denominator and Correlations. RAROC and EVA. Summary. PART FIVE: Credit Risk Transfer Mechanisms. CHAPTER 12: Credit Derivatives. Introduction. Credit Default Swaps. Credit Securitizations. Financial Firms' Use of Credit Derivatives. CDS Spreads and Rating Agency Rating Systems. Summary. Appendix 12.1: Pricing the CDS Spread with Counterparty Credit Risk Exposure. CHAPTER 13: Capital Regulation. Introduction. The 2006 Basel II Plan. Summary. Appendix 13.1: Loan Rating Systems. Notes. Bibliography. Index.
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.