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Credit Risk Measurement: New Approaches to Value-at-Risk and Other Paradigms

ISBN: 978-0-471-35084-2

June 1999

240 pages

Description
In Credit Risk Measurement: New Approaches to Value-at-Risk and Other Paradigms, Anthony Saunders not only simplifies many of the technical details and analytics surrounding internal models, but 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.
About the Author
ANTHONY SAUNDERS is the John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business at New York University. He holds positions on the Board of Academic Consultants of the Federal Reserve Board of Governors and the Council of Research Advisors for the Federal National Mortgage Association. He is the Editor of the Journal of Banking and Finance and the Journal of Financial Markets, Instruments, and Institutions.