Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms
| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
Hoboken, N.J :
Wiley ,
c2010
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| Edition: | 3rd ed |
| Subjects: |
Table of Contents:
- 1. Setting the stage for financial meltdown
- 2. The three phases of the credit crisis
- 3. The crisis and regulatory failure
- 4. Loans as option: the moody's KMV models
- 5. Reduced form models: Kamakura's risk manager
- 6. Other credit risk models
- 7. Acritical parameter: loss given default
- 8. The credit risk portfolios and correlations
- 9. The VAR approach: creditmetrics and other models
- 10. Stress testing credit risk models: algorithmics mark-to-future
- 11. RAROC models
- 12. Credit derivatives
- 13. Capital regulation