Contents: 1. Why new approaches to credit risk measurement and management ? 2. Traditional approaches to credit risk measurement; 3. The bis basel international bank capital accord – January 2002; 4. Loans as options – The KMV and moody’s models; 5. Reduced form models – KPMG’s loan analysis system and kamakura’s risk manager; 6. The VAR approach – Creditmetrics and other models; 7. The macro simulation approach – The creditportfolio view model and other models; 8. The insurance approach – Mortality models and the CSFP credit risk plus model; 9. A summary and comparison of new internal model approaches; 10. Overview of modern portfolio theory and its application to loan portfolios; 11. Loan portfolio selection and risk measurement; 12. Stress testing credit risk models – Algorithmics mark-to-future; 13. Risk-adjusted return on capital models; 14. Off-balance-sheet credit risk; 15. Credit derivatives; 16. Bibliography; 17. Notes; 18. Index.
