Holdings: Credit risk measurement

Credit risk measurement: new approaches to value at risk and other paradigms

Saved in:

Bibliographic Details
Main Author:	Saunders, Anthony 1949- (Author)
Format:	Book
Language:	English
Published:	New York Wiley 2002
Edition:	2. ed.
Subjects:	Bank loans Bank management Credit > Management Risk management Value at Risk Marktrisiko Messung Kreditrisiko Bank
Online Access:	Publisher description Table of contents Inhaltsverzeichnis
Physical Description:	XIII, 319 S. graph. Darst.
ISBN:	047121910X

Staff View

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

Record in the Search Index

_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

Holdings

There is no print copy available.

Interlibrary loan Place Request Caution: Not in THWS collection! Indexes

MARC

Record in the Search Index

There is no print copy available.

Similar Items