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

~ (Author) "In recent years, a revolution has been brewing in the way credit risk is both measured and managed..." (more)
Key Phrases: pure credit swap, macro simulation approach, mean default rate (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

Product Description

The single most important topic in finance today is the art and science of credit risk management. Growing dissatisfaction with traditional credit risk measurement methods has combined with regulations imposed by the Bank for International Settlements (BIS) in 1993 to send numerous financial institutions in search of alternative "internal model" approaches to measuring the credit risk of a loan or portfolio of loans. This has led to a raging debate over whether internal models can replace regulatory models, and which areas of credit risk measurement and management are most amenable to internal models. Much of this highly technical debate, however, has been inaccessible to the interested practitioner, student, economist, or regulator-until now.

In Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, Anthony Saunders invites a wider audience into the debate. Simplifying many of the technical details and analytics surrounding internal models, he concentrates on their underlying economics and economic intuition. Professor Saunders examines the approaches of these new models to the evaluation of individual borrower credit risk, portfolio credit risk, and derivative contracts. The alternative models explored include:
* Loans as options and the KMV model
* The VAR approach: J. P. Morgan's CreditMetrics and other models
* The macro simulation approach: the McKinsey and other models
* The risk-neutral valuation approach: KPMG's Loan Analysis System (LAS) and other models
* The insurance approach: mortality models and CSFP credit risk plus model
* Back testing and stress testing credit risk models
* RAROC models

With its comprehensive coverage, summary, and comparison of new internal model approaches along with clear explanations of often complex material, Credit Risk Measurement is an indispensable resource for bankers, academics and students, economists, and regulators.

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Product Details

• Hardcover: 240 pages
• Publisher: Wiley; 1 edition (June 18, 1999)
• Language: English
• ISBN-10: 0471350842
• ISBN-13: 978-0471350842
• Product Dimensions: 9.3 x 6.3 x 0.9 inches
• Shipping Weight: 1.1 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: #1,513,871 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

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

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

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

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.