Credit risk measurement: new approaches to value at risk and other paradigms
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York
Wiley
2002
|
| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Publisher description Table of contents Inhaltsverzeichnis |
| Beschreibung: | XIII, 319 S. graph. Darst. |
| ISBN: | 047121910X |
Internformat
MARC
| LEADER | 00000nam a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV014471430 | ||
| 003 | DE-604 | ||
| 005 | 20100809 | ||
| 007 | t | ||
| 008 | 020603s2002 xxud||| |||| 00||| eng d | ||
| 016 | 7 | |a 965920721 |2 DE-101 | |
| 020 | |a 047121910X |9 0-471-21910-X | ||
| 035 | |a (OCoLC)440802950 | ||
| 035 | |a (DE-599)BVBBV014471430 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c US | ||
| 049 | |a DE-703 |a DE-91 |a DE-91G |a DE-384 |a DE-1102 |a DE-473 |a DE-19 |a DE-188 | ||
| 050 | 0 | |a HG1641.S33 2002 | |
| 080 | |a 336.71 | ||
| 082 | 0 | |a 332.1/2/0684 |2 21 | |
| 082 | 0 | |a 332.1/2/0684 21 | |
| 084 | |a QK 320 |0 (DE-625)141644: |2 rvk | ||
| 084 | |a WIR 905f |2 stub | ||
| 084 | |a 17 |2 sdnb | ||
| 100 | 1 | |a Saunders, Anthony |d 1949- |e Verfasser |0 (DE-588)128456507 |4 aut | |
| 245 | 1 | 0 | |a Credit risk measurement |b new approaches to value at risk and other paradigms |c Anthony Saunders ; Linda Allen |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a New York |b Wiley |c 2002 | |
| 300 | |a XIII, 319 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Bank loans | |
| 650 | 4 | |a Bank management | |
| 650 | 4 | |a Credit -- Management | |
| 650 | 4 | |a Risk management | |
| 650 | 0 | 7 | |a Value at Risk |0 (DE-588)4519495-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Marktrisiko |0 (DE-588)4506224-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Messung |0 (DE-588)4038852-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kreditrisiko |0 (DE-588)4114309-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Bank |0 (DE-588)4004436-1 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Kreditrisiko |0 (DE-588)4114309-7 |D s |
| 689 | 0 | 1 | |a Bank |0 (DE-588)4004436-1 |D s |
| 689 | 0 | 2 | |a Messung |0 (DE-588)4038852-9 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Bank |0 (DE-588)4004436-1 |D s |
| 689 | 1 | 1 | |a Value at Risk |0 (DE-588)4519495-6 |D s |
| 689 | 1 | |5 DE-604 | |
| 689 | 2 | 0 | |a Bank |0 (DE-588)4004436-1 |D s |
| 689 | 2 | 1 | |a Kreditrisiko |0 (DE-588)4114309-7 |D s |
| 689 | 2 | 2 | |a Messung |0 (DE-588)4038852-9 |D s |
| 689 | 2 | |5 DE-188 | |
| 689 | 3 | 0 | |a Bank |0 (DE-588)4004436-1 |D s |
| 689 | 3 | 1 | |a Marktrisiko |0 (DE-588)4506224-9 |D s |
| 689 | 3 | 2 | |a Value at Risk |0 (DE-588)4519495-6 |D s |
| 689 | 3 | |5 DE-188 | |
| 700 | 1 | |a Allen, Linda |d 1954- |e Sonstige |0 (DE-588)128721529 |4 oth | |
| 856 | 4 | |u http://www.loc.gov/catdir/description/wiley036/2002005431.html |3 Publisher description | |
| 856 | 4 | |u http://www.loc.gov/catdir/toc/wiley022/2002005431.html |3 Table of contents | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009878276&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-009878276 | ||
Datensatz im Suchindex
| _version_ | 1804129302922395648 |
|---|---|
| adam_text | contents
U8T OF ABBREVIATIONS Xi
CHAPTER 1
Why New Approaches to Credit Risk Measurement
and Management? 1
CHAPTER 2
Traditional Approaches to Credit Risk Measurement 9
CHAPTER 3
The BIS Basel International Bank Capital Accord: January 2002 23
CHAPTER 4
Loans as Options: The KMV and Moody s Models 46
CHAPTER 5
Reduced Form Models: KPMG s Loan Analysis System and
Kamakura s Risk Manager 67
CHAPTER 6
The VAR Approach: CredttMetrics and Other Models 84
CHAPTER 7
The Macro Simulation Approach: The CreditPortfolto View
Model and Other Models 107
CHAPTER 8
The Insurance Approach: Mortality Models and the CSFP Credit
Risk Plus Model 121
ix
X CONTENTS
CHAPTER 9
A Summary and Comparison of New Internal Model Approaches 135
CHAPTER 10
Overview of Modern Portfolio Theory and Its Application to
Loan Portfolios 151
CHAPTER 11
Loan Portfolio Selection and Risk Measurement 157
CHAPTER 12
Stress Testing Credit Risk Models: Algorithmics Mark to Future 191
CHAPTER 13
Risk Adjusted Return on Capital Models 201
CHAPTER 14
Off Balance Sheet Credit Risk 213
CHAPTER 15
Credit Derivatives 233
BIBUOGRAPHY 258
NOTES 276
IWEX 311
|
| any_adam_object | 1 |
| author | Saunders, Anthony 1949- |
| author_GND | (DE-588)128456507 (DE-588)128721529 |
| author_facet | Saunders, Anthony 1949- |
| author_role | aut |
| author_sort | Saunders, Anthony 1949- |
| author_variant | a s as |
| building | Verbundindex |
| bvnumber | BV014471430 |
| callnumber-first | H - Social Science |
| callnumber-label | HG1641 |
| callnumber-raw | HG1641.S33 2002 |
| callnumber-search | HG1641.S33 2002 |
| callnumber-sort | HG 41641 S33 42002 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 320 |
| classification_tum | WIR 905f |
| ctrlnum | (OCoLC)440802950 (DE-599)BVBBV014471430 |
| dewey-full | 332.1/2/0684 332.1/2/068421 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.1/2/0684 332.1/2/0684 21 |
| dewey-search | 332.1/2/0684 332.1/2/0684 21 |
| dewey-sort | 3332.1 12 3684 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02689nam a2200709zc 4500</leader><controlfield tag="001">BV014471430</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20100809 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">020603s2002 xxud||| |||| 00||| eng d</controlfield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">965920721</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">047121910X</subfield><subfield code="9">0-471-21910-X</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)440802950</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV014471430</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-703</subfield><subfield code="a">DE-91</subfield><subfield code="a">DE-91G</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-1102</subfield><subfield code="a">DE-473</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG1641.S33 2002</subfield></datafield><datafield tag="080" ind1=" " ind2=" "><subfield code="a">336.71</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.1/2/0684</subfield><subfield code="2">21</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.1/2/0684 21</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 320</subfield><subfield code="0">(DE-625)141644:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 905f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">17</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Saunders, Anthony</subfield><subfield code="d">1949-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)128456507</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Credit risk measurement</subfield><subfield code="b">new approaches to value at risk and other paradigms</subfield><subfield code="c">Anthony Saunders ; Linda Allen</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">2. ed.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">New York</subfield><subfield code="b">Wiley</subfield><subfield code="c">2002</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XIII, 319 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Bank loans</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Bank management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Credit -- Management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Value at Risk</subfield><subfield code="0">(DE-588)4519495-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Marktrisiko</subfield><subfield code="0">(DE-588)4506224-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Messung</subfield><subfield code="0">(DE-588)4038852-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kreditrisiko</subfield><subfield code="0">(DE-588)4114309-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Bank</subfield><subfield code="0">(DE-588)4004436-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Kreditrisiko</subfield><subfield code="0">(DE-588)4114309-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Bank</subfield><subfield code="0">(DE-588)4004436-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Messung</subfield><subfield code="0">(DE-588)4038852-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Bank</subfield><subfield code="0">(DE-588)4004436-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Value at Risk</subfield><subfield code="0">(DE-588)4519495-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="2" ind2="0"><subfield code="a">Bank</subfield><subfield code="0">(DE-588)4004436-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2="1"><subfield code="a">Kreditrisiko</subfield><subfield code="0">(DE-588)4114309-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2="2"><subfield code="a">Messung</subfield><subfield code="0">(DE-588)4038852-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="2" ind2=" "><subfield code="5">DE-188</subfield></datafield><datafield tag="689" ind1="3" ind2="0"><subfield code="a">Bank</subfield><subfield code="0">(DE-588)4004436-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="3" ind2="1"><subfield code="a">Marktrisiko</subfield><subfield code="0">(DE-588)4506224-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="3" ind2="2"><subfield code="a">Value at Risk</subfield><subfield code="0">(DE-588)4519495-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="3" ind2=" "><subfield code="5">DE-188</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Allen, Linda</subfield><subfield code="d">1954-</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)128721529</subfield><subfield code="4">oth</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://www.loc.gov/catdir/description/wiley036/2002005431.html</subfield><subfield code="3">Publisher description</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://www.loc.gov/catdir/toc/wiley022/2002005431.html</subfield><subfield code="3">Table of contents</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009878276&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-009878276</subfield></datafield></record></collection> |
| id | DE-604.BV014471430 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:02:59Z |
| institution | BVB |
| isbn | 047121910X |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009878276 |
| oclc_num | 440802950 |
| open_access_boolean | |
| owner | DE-703 DE-91 DE-BY-TUM DE-91G DE-BY-TUM DE-384 DE-1102 DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-188 |
| owner_facet | DE-703 DE-91 DE-BY-TUM DE-91G DE-BY-TUM DE-384 DE-1102 DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-188 |
| physical | XIII, 319 S. graph. Darst. |
| publishDate | 2002 |
| publishDateSearch | 2002 |
| publishDateSort | 2002 |
| publisher | Wiley |
| record_format | marc |
| spelling | Saunders, Anthony 1949- Verfasser (DE-588)128456507 aut Credit risk measurement new approaches to value at risk and other paradigms Anthony Saunders ; Linda Allen 2. ed. New York Wiley 2002 XIII, 319 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bank loans Bank management Credit -- Management Risk management Value at Risk (DE-588)4519495-6 gnd rswk-swf Marktrisiko (DE-588)4506224-9 gnd rswk-swf Messung (DE-588)4038852-9 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 s Bank (DE-588)4004436-1 s Messung (DE-588)4038852-9 s DE-604 Value at Risk (DE-588)4519495-6 s DE-188 Marktrisiko (DE-588)4506224-9 s Allen, Linda 1954- Sonstige (DE-588)128721529 oth http://www.loc.gov/catdir/description/wiley036/2002005431.html Publisher description http://www.loc.gov/catdir/toc/wiley022/2002005431.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009878276&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Saunders, Anthony 1949- Credit risk measurement new approaches to value at risk and other paradigms Bank loans Bank management Credit -- Management Risk management Value at Risk (DE-588)4519495-6 gnd Marktrisiko (DE-588)4506224-9 gnd Messung (DE-588)4038852-9 gnd Kreditrisiko (DE-588)4114309-7 gnd Bank (DE-588)4004436-1 gnd |
| subject_GND | (DE-588)4519495-6 (DE-588)4506224-9 (DE-588)4038852-9 (DE-588)4114309-7 (DE-588)4004436-1 |
| title | Credit risk measurement new approaches to value at risk and other paradigms |
| title_auth | Credit risk measurement new approaches to value at risk and other paradigms |
| title_exact_search | Credit risk measurement new approaches to value at risk and other paradigms |
| title_full | Credit risk measurement new approaches to value at risk and other paradigms Anthony Saunders ; Linda Allen |
| title_fullStr | Credit risk measurement new approaches to value at risk and other paradigms Anthony Saunders ; Linda Allen |
| title_full_unstemmed | Credit risk measurement new approaches to value at risk and other paradigms Anthony Saunders ; Linda Allen |
| title_short | Credit risk measurement |
| title_sort | credit risk measurement new approaches to value at risk and other paradigms |
| title_sub | new approaches to value at risk and other paradigms |
| topic | Bank loans Bank management Credit -- Management Risk management Value at Risk (DE-588)4519495-6 gnd Marktrisiko (DE-588)4506224-9 gnd Messung (DE-588)4038852-9 gnd Kreditrisiko (DE-588)4114309-7 gnd Bank (DE-588)4004436-1 gnd |
| topic_facet | Bank loans Bank management Credit -- Management Risk management Value at Risk Marktrisiko Messung Kreditrisiko Bank |
| url | http://www.loc.gov/catdir/description/wiley036/2002005431.html http://www.loc.gov/catdir/toc/wiley022/2002005431.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009878276&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT saundersanthony creditriskmeasurementnewapproachestovalueatriskandotherparadigms AT allenlinda creditriskmeasurementnewapproachestovalueatriskandotherparadigms |