Credit Risk Measurement: New Methods and Other Paradigms for Risk Valuation

Author: Anthony Saunders
Publisher:
Publish Date: 2001-03-01
Features: This book follows a "building block" approach in arranging its chapters. Chapter 1 discusses the driving forces behind the recent growth of new credit risk models; Chapter 2 briefly summarizes traditional models for measuring credit risk; Chapters 3–8 examine methods for assessing the credit risk of individual borrowers (or counterparties) and valuing individual loans using various new models. A key feature of many new models is their consideration of credit risk in the context of portfolios, so Chapters 9–12 explore the application of modern portfolio theory concepts to evaluate the risk of loan portfolios. Finally, many new models can not only be used for on-balance-sheet activities but also for assessing the credit risk of off-balance-sheet activities. Therefore, Chapters 13 and 14 focus on using new models to assess the risk of derivative contracts and managing credit risk with such contracts.