(Ebook) Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition by Anthony Saunders, Linda Allen(auth.) ISBN 9780470478349, 9781118267981, 0470478349, 1118267982

(Ebook) Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition by Anthony Saunders, Linda Allen(auth.) ISBN 9780470478349, 9781118267981, 0470478349, 1118267982

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. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis.

Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans.

• Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them
• Concentrates on the underlying economics to objectively evaluate new models
• Includes new chapters on how to prevent another crisis from occurring

Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.Content:
Chapter 1 Setting the Stage for Financial Meltdown (pages 1–23):
Chapter 2 The Three Phases of the Credit Crisis (pages 24–44):
Chapter 3 The Crisis and Regulatory Failure (pages 45–64):
Chapter 4 Loans as Options: The Moody's KMV Model (pages 65–97):
Chapter 5 Reduced Form Models: Kamakura's Risk Manager (pages 98–116):
Chapter 6 Other Credit Risk Models (pages 117–131):
Chapter 7 A Critical Parameter: Loss Given Default (pages 133–147):
Chapter 8 The Credit Risk of Portfolios and Correlations (pages 148–165):
Chapter 9 The VAR Approach: CreditMetrics and Other Models (pages 167–207):
Chapter 10 Stress Testing Credit Risk Models: Algorithmics Mark?to?Future (pages 208–227):
Chapter 11 RAROC Models (pages 228–239):
Chapter 12 Credit Derivatives (pages 241–273):
Chapter 13 Capital Regulation (pages 274–302):