Credit Risk Models and the Basel Accords
Language: English
Published by Wiley & Sons, Incorporated, John, 2003
- Hardcover
- Used
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- Title
- Credit Risk Models and the Basel Accords
- Author
- Van Deventer, Donald R., Mesler, Mark, Imai, Kenji
- Publisher
- Wiley & Sons, Incorporated, John
- Publication year
- 2003
- Condition
- Good
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0470820918
- ISBN 13
- 9780470820919
- Item weight
- 1.473 pounds
- Dimensions
- N/A
Increasingly, however, bankers are turning to a newer class of models called "reduced form credit models" because of their analytical power for both complex derivatives like credit derivatives and the mark to market of loans on a credit adjusted basis.
The Basel Capital Accords place a heavy emphasis on financial institutions′ ability to assess credit risk. In this book, two of the world′s best–known risk management experts assess both the Merton model and reduced form credit models and show exactly how to measure model performance as the Basel Accords require. They use the same tests to assess the likely effectiveness of the Basel Capital Accords in measuring the safety and soundness of financial institutions.
The authors go into great detail in assessing the ability of leading credit models to evaluate collateralized debt obligations, loan commitments, collateralized loans, as well as retail and small business loan portfolios.
Credit Risk Models and the Basel Accords reviews the objectives of the credit risk management process, introduces the theory of the Merton and reduced form credit models, shows how the models can be used in practice, and then examines a wide range of historical data to show the relative performance of the models in practice.
This book offers a balanced review of the newer reduced form models and the older Merton model. It is an invaluable guide for financial institutions striving to meet the requirements of the new Basel Accord. It is a book that thoroughly reviews the pros and cons of both classes of credit model. The Basel Accords ensure that financial institutions do more than just "have" a model – they must also understand how they work. This book will help to fulfill that requirement of the new Basel Accords.
"Synopsis" may belong to another edition of this title.
About the Author
He holds a Ph.D. in Business Economics, a joint degree of the Harvard University Department of Economics and the Harvard Graduate School of Business Administration.
Kenji Imai heads Software Development for Kamakura and participates in selected Japan–related financial advisory assignments. A member of the Managing Committee of Kamakura, he is fluent in both Japanese and English.
Prior to Kamakura, Mr. Imai worked in credit analysis in the Foreign Exchange Group of the Sanwa Bank, Hibiya Branch. He was later transferred to the headquarters where as a member of the Planning Section, he was responsible for risk management on interest and currency products. Following his two years at MIT, he returned to the Derivatives Group at Sanwa where he developed interest rate term structure models for pricing exotic options and managing interest rate derivative products, and applied quantitative methods for swaps and options analysis.
He graduated from the University of Tokyo with a B.S. in Civil Engineering and from the Sloan School of the Massachusetts Institute of Technology with a M.S. in Management, concentrating in finance.
"About the title" may belong to another edition of this title.
Better World Books Ltd
Dunfermline, United Kingdom
AbeBooks seller since October 13, 2008
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