Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms (Wiley Finance) - Hardcover

Saunders, Anthony; Allen, Linda

3.6

10 ratings by Goodreads

9780471219101: Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms (Wiley Finance)

Hardcover

ISBN 10: 047121910X ISBN 13: 9780471219101

Publisher: John Wiley & Sons, 2002

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The most cutting–edge read on the pricing, modeling, and management of credit risk available

The rise of credit risk measurement and the credit derivatives market started in the early 1990s and has grown ever since. For many professionals, understanding credit risk measurement as a discipline is now more important than ever. Credit Risk Measurement, Second Edition has been fully revised to reflect the latest thinking on credit risk measurement and to provide credit risk professionals with a solid understanding of the alternative approaches to credit risk measurement.

This readable guide discusses the latest pricing, modeling, and management techniques available for dealing with credit risk. New chapters highlight the latest generation of credit risk measurement models, including a popular class known as intensity–based models. Credit Risk Measurement, Second Edition also analyzes significant changes in banking regulations that are impacting credit risk measurement at financial institutions. With fresh insights and updated information on the world of credit risk measurement, this book is a must–read reference for all credit risk professionals.

Anthony Saunders (New York, NY) is the John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business at New York University. He holds positions on the Board of Academic Consultants of the Federal Reserve Board of Governors as well as the Council of Research Advisors for the Federal National Mortgage Association. He is the editor of the Journal of Banking and Finance and the Journal of Financial Markets, Instruments and Institutions.

Linda Allen (New York, NY) is Professor of Finance at Baruch College and Adjunct Professor of Finance at the Stern School of Business at New York University. She also is author of Capital Markets and Institutions: A Global View (Wiley: 0471130494).

Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.

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Product Description:

Credit Risk Measurement Credit risk management is the result of an explosion of aggressive development of new techniques. This text provides comprehensive coverage of models to measure and manage individual and counter-party risk.

Review:

"Credit risk management and portfolio decisions on credit assets have become far more complex and controversial in recent years. Tony Saunders has written an important cogent summary and analysis of the various new models that have emerged in recent years to tackle these complexities. Never has this type of analysis been more relevant - a must read for credit practitioners, banking regulators, and researchers of financial institutions and markets." -- Ed Altman, Max L. Heine Professor of Finance, NYU Stern School of Business

"For several years, bankers, professors, and students alike have been searching in vain, looking for the 'missing book' on credit risk measurement and models, a book that would combine an overarching perspective with practical advice on a subject increasingly important worldwide. Once again, Professor Saunders has come to the rescue in the nick of time, with Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, a comprehensive volume that brings the necessary transparency to the issues that have heretofore been only translucent." -- Manuel Sabastiao, Executive Director, Insurance Supervisory Authority, Portugal

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