Una creciente insatisfacción con los tradicionales sistemas de medición de riesgo de credito, combinado con regulaciones dictadas por el BIS en 1993, han motivado a numerosas instituciones financieras a buscar modelos alternativos para medir dicho riesgo. Este libro resume los resultados obtenidos en dichas investigaciones y los expone sin saturar al lector con un lenguaje matemático avanzado.
Nuestra
calificación: ****
Dificultad
matemática: *
1 Why
New Approaches to Credit Risk Measurement and Management?
2
Traditional Approaches to Credit Risk Measurement
3 Loans as Options
and the KMV Model
4 The
VAR Approach: J.P. Morgan's CreditMetrics and Other Models
5 The
Macro Simulation Approach: The McKinsey Model and Other Models
6 The
Risk‑Neutral Valuation Approach: KPMGs Loan Analysis System (LAS) and
Other Models
7 The
Insurance Approach: Mortality Models and the CSFP Credit Risk Plus Model
8 A
Summary and Comparison of New Internal Model Approaches
9
An Overview of Modern Portfolio Theory and
Its Application to Loan Portfolios
10
Loan Portfolio Selection and Risk Measurement
11
Back‑Testing and Stress‑Testing Credit
Risk Models
12
RAROC Models
13
Of f‑Balance~Sheet Credit Risk
14
Credit Derivatives
Bibliography
Index