Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

Author(s): Anthony Saunders, Linda Allen

Published Online: 6 DEC 2011 09:05AM EST

Print ISBN: 9780470478349

Online ISBN: 9781118267981

DOI: 10.1002/9781118267981

About this Book

A classic book on credit risk management is updated to reflect the current economic crisis

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.

Table of contents

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  1. Part I: Bubbles and Crises: The Global Financial Crisis of 2007–2009

  2. Part II: Probability of Default Estimation

  3. Part III: Estimation of Other Model Parameters

  4. Part IV: Putting the Parameters Together

  5. Part V: Credit Risk Transfer Mechanisms

    1. You have free access to this content
    1. You have free access to this content
    1. You have free access to this content

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