Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, 2nd Edition (Hardcover)

by Anthony Saunders (Author), Linda Allen (Author) "In recent years, a revolution has been brewing in risk as it is both measured and managed..." (more)
Key Phrases: pure credit swap, mean default rate, credit horizon, Monte Carlo, Technical Document, United States (more...)

Editorial Reviews

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 Management-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 Sebastiao, Executive Director, Insurance Supervisory Authority, Portugal --This text refers to the Hardcover edition.

Product Description
Praise for Credit Risk Measurement
New Approaches to Value at Risk and Other Paradigms
Second Edition

"Saunders and Allen provide practitioners a comprehensive picture of the tools available for the notoriously difficult task of quantifying credit risk. Without neglecting the underlying theory, they zero in on the actual technologies being employed, offering unbiased views of their comparative strengths and limitations."
–Martin Fridson, Chief High Yield Strategist, Merrill Lynch & Co.

"Nowhere else can be found such a clear and rigorous presentation of the newest models, both original and second-generation, for analyzing stand-alone and portfolio credit asset risk models. This is a must read for any practitioner or scholar interested in applying or testing the latest entries in the credit risk modeling challenge or for attempting to build and test new approaches."
–Edward I. Altman, Max L. Heine Professor of Finance, NYU Stern School of Business

"A great introduction to the issues and concepts of credit risk management. The first edition offered a remarkably clear, ‘big picture’ perspective. This edition expands and updates the topics covered."
–Mark Flannery, BankAmerica Eminent Scholar in Finance, University of Florida

"Measuring credit risk accurately has become increasingly important as economies almost worldwide have slowed with an accompanying increase in defaults and default losses. At the same time, the widespread controversies surrounding the proposed changes in the Basel risk weights for bank credit risk exposures have highlighted the complexity of such computations. The second edition of this book makes a timely contribution in describing both the theory underlying credit risk measurement and the alternative approaches for estimating risk exposures empirically. The book should be read by bankers and credit analysts, as well as by bank supervisors and policymakers involved in bank risk regulation."
–George Kaufman, John F. Smith Jr. Professor of Finance and Economics
Loyola University Chicago

"Since the welcome appearance of the first edition of Credit Risk Measurement in 1999, readers from academia as well as the workaday world of finance have benefited from its sweeping overview of the topic and detailed ‘how-to’ analysis. It is thus reassuring that bankers, insurers, professors, and students alike can again rely on Professors Saunders and Allen for their cogent update of this survival manual. It is now, more than ever, a ‘must read.’"
–Manuel Sebastiao, Member of the Board, Bank of Portugal

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Product Details

• Hardcover: 288 pages
• Publisher: Wiley; 2nd edition (March 15, 2002)
• Language: English
• ISBN-10: 047121910X
• ISBN-13: 978-0471219101
• Product Dimensions: 9.1 x 6.1 x 1.2 inches
• Shipping Weight: 1.3 pounds (View shipping rates and policies)
• Average Customer Review: 3.0 out of 5 stars See all reviews (4 customer reviews)
• Amazon.com Sales Rank: #335,358 in Books (See Bestsellers in Books)

Customer Reviews

Most Helpful Customer Reviews

25 of 29 people found the following review helpful:

3.0 out of 5 stars Good intro, but not enough details, June 20, 2000

By A Customer

This review is from: Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, 1st Edition (Hardcover)

I have a copy of this book. It covers popular credit risk models and things like RAROC, etc. These concepts have been discussed extensively in the industry but I assume this is the first in the book form. The book does a good job in presenting basic ideas. However, if you are looking for technical details, you best bets are still the original technical documentations (CreditMetrics, CreditRisk+, KMV, etc). Nevertheless this book is a useful survey of the current stable of models. Besides, it is not very expensive.

15 of 18 people found the following review helpful:

1.0 out of 5 stars Don't waste your time, December 7, 2002

By A Customer

Working in the banking industry I was turned on to this book by a colleague and what a colossal waste of time reading this was. The vast majority of this book's models are outdated and if Mr. Saunders was trying to write a historical piece he has accomplished that in spades. Nothing in this book is relevant and it is obvious the esteemed Mr. Saunders lent his name to a very poor book that he probably should have glanced through if not read. Linda Allen should probably get some real world experience because she is wasting people's time with her research.

1 of 2 people found the following review helpful:

3.0 out of 5 stars Good intro, but not enough details, June 20, 2000

By A Customer

This review is from: Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, 1st Edition (Hardcover)

I have a copy of this book. It covers popular credit risk models and things like RAROC, etc. These concepts have been discussed extensively in the industry but I assume this is the first in the book form. The book does a good job in presenting basic ideas. However, if you are looking for technical details, you best bets are still the original technical documentations (CreditMetrics, CreditRisk+, KMV, etc). Nevertheless this book is a useful survey of the current stable of models. Besides, it is not very expensive.