Table of Contents
Why New Approaches to Credit Risk Measurement and Management?
Traditional Approaches to Credit Risk Measurement.
Loans as Options and the KMV Model.
The VAR Approach: J.P. Morgan's CreditMetrics and Other Models.
The Macro Simulation Approach: The McKinsey Model and Other Models.
The Risk-Neutral Valuation Approach: KPMG's Loan Analysis System (LAS) and Other Models.
The Insurance Approach: Mortality Models and the CSFP Credit Risk Plus Model.
A Summary and Comparison of New Internal Model Approaches.
An Overview of Modern Portfolio Theory and Its Application to Loan Portfolios.
Loan Portfolio Selection and Risk Measurement.
Back-Testing and Stress- Testing Credit Risk Models.
RAROC Models.
Off-Balance-Sheet Credit Risk.
Credit Derivatives.
Bibliography.
Index.
进一步的信息请参考
http://as.wiley.com/WileyCDA/WileyTitle/productCd-0471350842.html。
[此贴子已经被作者于2008-3-8 12:40:44编辑过]
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