{"product_id":"credit-risk-management-in-and-out-of-the-financial-crisis-isbn-9780470478349","title":"Credit Risk Management In and Out of the Financial Crisis","description":"\u003cb\u003eA classic book on credit risk management is updated to reflect the current economic crisis\u003c\/b\u003e  \u003cp\u003e\u003ci\u003eCredit Risk Management In and Out of the Financial Crisi\u003c\/i\u003es dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to \u003ci\u003eCredit Risk Measurement: New Approaches to Value at Risk and Other Paradigms,\u003c\/i\u003e reflecting events stemming from the recent credit crisis.\u003c\/p\u003e \u003cp\u003eAuthors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eBreaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them\u003c\/li\u003e \u003cli\u003eConcentrates on the underlying economics to objectively evaluate new models\u003c\/li\u003e \u003cli\u003eIncludes new chapters on how to prevent another crisis from occurring\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eUnderstanding credit risk measurement is now more important than ever. \u003ci\u003eCredit Risk Management In and Out of the Financial Crisi\u003c\/i\u003es will solidify your knowledge of this dynamic discipline.\u003c\/p\u003e \u003cp\u003eList of Abbreviations xi\u003c\/p\u003e \u003cp\u003ePreface xv\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart One Bubbles and Crises: The Global Financial Crisis of 2007–2009\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Setting the Stage for Financial Meltdown 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 3\u003c\/p\u003e \u003cp\u003eThe Changing Nature of Banking 3\u003c\/p\u003e \u003cp\u003eReengineering Financial Institutions and Markets 17\u003c\/p\u003e \u003cp\u003eSummary 21\u003c\/p\u003e \u003cp\u003eAppendix 1.1: Ratings Comparisons for the Three Major Rating Agencies 23\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 The Three Phases of the Credit Crisis 24\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 24\u003c\/p\u003e \u003cp\u003eBursting of the Credit Bubble 24\u003c\/p\u003e \u003cp\u003ePhase 1: Credit Crisis in the Mortgage Market 29\u003c\/p\u003e \u003cp\u003ePhase 2: The Crisis Spreads—Liquidity Risk 33\u003c\/p\u003e \u003cp\u003ePhase 3: The Lehman Failure—Underwriting and Political Intervention Risk 37\u003c\/p\u003e \u003cp\u003eSummary 43\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 The Crisis and Regulatory Failure 45\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 45\u003c\/p\u003e \u003cp\u003eCrisis Intervention 45\u003c\/p\u003e \u003cp\u003eLooking Forward: Restructuring Plans 52\u003c\/p\u003e \u003cp\u003eSummary 64\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Two Probability of Default Estimation\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Loans as Options: The Moody’s KMV Model 67\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 67\u003c\/p\u003e \u003cp\u003eThe Link between Loans and Options 67\u003c\/p\u003e \u003cp\u003eTheMoody’s KMV Model 70\u003c\/p\u003e \u003cp\u003eTesting the Accuracy of EDFTM Scores 74\u003c\/p\u003e \u003cp\u003eCritiques of Moody’s KMV EDFTM Scores 86\u003c\/p\u003e \u003cp\u003eSummary 93\u003c\/p\u003e \u003cp\u003eAppendix 4.1: Merton’s Valuation Model 93\u003c\/p\u003e \u003cp\u003eAppendix 4.2: Moody’s KMV RiskCalcTM 95\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Reduced Form Models: Kamakura’s Risk Manager 98\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 98\u003c\/p\u003e \u003cp\u003eDeriving Risk-Neutral Probabilities of Default 99\u003c\/p\u003e \u003cp\u003eGeneralizing the Discrete Model of Risky Debt Pricing 102\u003c\/p\u003e \u003cp\u003eThe Loss Intensity Process 105\u003c\/p\u003e \u003cp\u003eKamakura’s Risk Information Services (KRIS) 108\u003c\/p\u003e \u003cp\u003eDeterminants of Bond Spreads 110\u003c\/p\u003e \u003cp\u003eSummary 114\u003c\/p\u003e \u003cp\u003eAppendix 5.1: Understanding a Basic Intensity Process 114\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Other Credit Risk Models 117\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 117\u003c\/p\u003e \u003cp\u003eCredit Scoring Systems 117\u003c\/p\u003e \u003cp\u003eMortality Rate Systems 121\u003c\/p\u003e \u003cp\u003eArtificial Neural Networks 125\u003c\/p\u003e \u003cp\u003eComparison of Default Probability Estimation Models 127\u003c\/p\u003e \u003cp\u003eSummary 131\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Three Estimation of Other Model Parameters\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 A Critical Parameter: Loss Given Default 135\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 135\u003c\/p\u003e \u003cp\u003eAcademic Models of LGD 135\u003c\/p\u003e \u003cp\u003eDisentangling LGD and PD 142\u003c\/p\u003e \u003cp\u003eMoody’s KMV’s Approach to LGD Estimation 143\u003c\/p\u003e \u003cp\u003eKamakura’s Approach to LGD Estimation 146\u003c\/p\u003e \u003cp\u003eSummary 146\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 The Credit Risk of Portfolios and Correlations 148\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 148\u003c\/p\u003e \u003cp\u003eModern Portfolio Theory (MPT): An Overview 149\u003c\/p\u003e \u003cp\u003eApplying MPT to Nontraded Bonds and Loans 150\u003c\/p\u003e \u003cp\u003eEstimating Correlations across Nontraded Assets 152\u003c\/p\u003e \u003cp\u003eMoody’s KMV’s Portfolio Manager 153\u003c\/p\u003e \u003cp\u003eKamakura and Other Reduced Form Models 161\u003c\/p\u003e \u003cp\u003eSummary 165\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Four Putting the Parameters Together\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 The VAR Approach: CreditMetrics and Other Models 169\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 169\u003c\/p\u003e \u003cp\u003eThe Concept of Value at Risk 170\u003c\/p\u003e \u003cp\u003eCapital Requirements 177\u003c\/p\u003e \u003cp\u003eTechnical Issues and Problems 180\u003c\/p\u003e \u003cp\u003eThe Portfolio Approach in CreditMetrics 184\u003c\/p\u003e \u003cp\u003eSummary 195\u003c\/p\u003e \u003cp\u003eAppendix 9.1: Calculating the Forward Zero Curve for Loan Valuation 195\u003c\/p\u003e \u003cp\u003eAppendix 9.2: Estimating Unexpected Losses Using Extreme Value Theory 200\u003c\/p\u003e \u003cp\u003eAppendix 9.3: The Simplified Two-Asset Subportfolio Solution to the N-Asset Portfolio Case 202\u003c\/p\u003e \u003cp\u003eAppendix 9.4: CreditMetrics and Swap Credit Risk 202\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Stress Testing Credit Risk Models: Algorithmics Mark-to-Future 208\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 208\u003c\/p\u003e \u003cp\u003eBack-Testing Credit Risk Models 209\u003c\/p\u003e \u003cp\u003eUsing the Algorithmics Mark-to-Future Model 215\u003c\/p\u003e \u003cp\u003eStress Testing U.S. Banks in 2009 220\u003c\/p\u003e \u003cp\u003eSummary 227\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 RAROC Models 228\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 228\u003c\/p\u003e \u003cp\u003eWhat is RAROC? 228\u003c\/p\u003e \u003cp\u003eRAROC, ROA, and RORAC 229\u003c\/p\u003e \u003cp\u003eAlternative Forms of RAROC 230\u003c\/p\u003e \u003cp\u003eThe RAROC Denominator and Correlations 235\u003c\/p\u003e \u003cp\u003eRAROC and EVA 238\u003c\/p\u003e \u003cp\u003eSummary 238\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Five Credit Risk Transfer Mechanisms\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Credit Derivatives 243\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 243\u003c\/p\u003e \u003cp\u003eCredit Default Swaps 244\u003c\/p\u003e \u003cp\u003eCredit Securitizations 259\u003c\/p\u003e \u003cp\u003eFinancial Firms’ Use of Credit Derivatives 269\u003c\/p\u003e \u003cp\u003eCDS Spreads and Rating Agency Rating Systems 269\u003c\/p\u003e \u003cp\u003eSummary 271\u003c\/p\u003e \u003cp\u003eAppendix 12.1: Pricing the CDS Spread with\u003c\/p\u003e \u003cp\u003eCounterparty Credit Risk Exposure 272\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Capital Regulation 274\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 274\u003c\/p\u003e \u003cp\u003eThe 2006 Basel II Plan 275\u003c\/p\u003e \u003cp\u003eSummary 296\u003c\/p\u003e \u003cp\u003eAppendix 13.1: Loan Rating Systems 297\u003c\/p\u003e \u003cp\u003eNotes 303\u003c\/p\u003e \u003cp\u003eBibliography 341\u003c\/p\u003e \u003cp\u003eIndex 365\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eANTHONY SAUNDERS\u003c\/b\u003e is the John M. Schiff Professor of Finance and former 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 as well as the Council of Research Advisors for the Federal National Mortgage Association, and has been a visiting scholar at the Comptroller of the Currency and at the International Monetary Fund.  \u003c\/p\u003e\u003cp\u003e\u003cb\u003eLINDA ALLEN\u003c\/b\u003e is the Presidential Professor of Finance at the Zicklin School of Business at Baruch College, City University of New York (CUNY), and Adjunct Professor of Finance at the Stern School of Business, New York University. She has been a member of the Standard \u0026amp; Poor's Academic Council since its formation in 2004. Professor Allen has published extensively in top academic journals in finance and economics.   \u003c\/p\u003e\u003cp\u003eThe years preceding the 2007–2008 financial crisis were characterized by a dramatic increase in systemic risk to the financial system, caused in large part by a shift away from the traditional banking model. Rather than holding loans to maturity, banks moved to an underwriting model in which they originated loans and then quickly sold them, shifting risk to other parties in the financial system. The result was a deterioration in credit quality at the same time as there was a dramatic increase in consumer and corporate leverage, which were not detected by regulators. The combination of the two permitted an undetected build-up of risk in the financial system that created the pre-conditions for the subsequent crisis. But adoption of early warning systems that accurately measure credit risk exposure might have alerted all parties in time for them to take action to manage their risk exposure. That is the role of the credit measurement models surveyed in this book.\u003c\/p\u003e \u003cp\u003eIn this newly updated Third Edition of Credit Risk Measurement In and Out of the Financial Crisis, Anthony Saunders and Linda Allen discuss all of the latest credit risk measurement and modeling techniques. Professors Saunders and Allen examine how these new models approach the evaluation of individual borrower and portfolio credit risk exposure, as well as the development of derivative contracts to manage credit risk exposure. Some of the alternative models they cover include: loans as options (the KMV and Moody's models), intensity-based models such as Kamakura's Risk Manager, the VaR approach (including CreditMetrics and other models), RAROC models, credit scoring systems, mortality rate systems, and others. In addition, the authors examine the BIS proposals for the New Basel Capital Accord, updated to 2006.\u003c\/p\u003e \u003cp\u003eThe art and science of credit risk measurement is the single most important topic in finance today. With its comprehensive coverage, summary, and comparison of new approaches, this reliable resource provides you with the best guidance available. Its clear explanations of often complex material will make Credit Risk Measurement In and Out of the Financial Crisis an indispensable resource for bankers, economists, regulators, academics, and students.\u003c\/p\u003e  \u003cp\u003eThe years preceding the 2007–2008 financial crisis were characterized by a dramatic increase in systemic risk  to the financial system, caused in large part by a shift away from the traditional banking model. Rather than holding loans to maturity, banks moved to an underwriting model in which they originated loans and then quickly sold them, shifting risk to other parties in the financial system. The result was a deterioration in credit quality at the same time as there was a dramatic increase in consumer and corporate leverage, which were not detected by regulators. The combination of the two permitted an undetected build-up of risk in the financial system that created the pre-conditions for the subsequent crisis. But adoption of early warning systems that accurately measure credit risk exposure might have alerted all parties in time for them to take action to manage their risk exposure. That is the role of the credit measurement models surveyed in this book.  \u003c\/p\u003e\u003cp\u003eIn this newly updated \u003ci\u003eThird Edition\u003c\/i\u003e of \u003ci\u003eCredit Risk Measurement In and Out of the Financial Crisis,\u003c\/i\u003e Anthony Saunders and Linda Allen discuss all of the latest credit risk measurement and modeling techniques. Professors Saunders and Allen examine how these new models approach the evaluation of individual borrower and portfolio credit risk exposure, as well as the development of derivative contracts to manage credit risk exposure. Some    of the alternative models they cover include: loans as options (the KMV and Moody's models), intensity-based models such as Kamakura's Risk Manager, the VaR approach (including CreditMetrics and other models), RAROC models, credit scoring systems, mortality rate systems, and others. In addition, the authors examine the BIS proposals for the New Basel Capital Accord, updated to 2006.  \u003c\/p\u003e\u003cp\u003eThe art and science of credit risk measurement is the single most important topic in finance today. With  its comprehensive coverage, summary, and comparison of new approaches, this reliable resource provides you with the best guidance available. Its clear explanations of often complex material will make \u003ci\u003eCredit Risk Measurement In and Out of the Financial Crisis\u003c\/i\u003e an indispensable resource for bankers, economists, regulators, academics, and students.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989004108005,"sku":"NP9780470478349","price":95.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470478349.jpg?v=1761782393","url":"https:\/\/k12savings.com\/es\/products\/credit-risk-management-in-and-out-of-the-financial-crisis-isbn-9780470478349","provider":"K12savings","version":"1.0","type":"link"}