Anthony Saunders & Linda Allen 
Credit Risk Measurement 
New Approaches to Value at Risk and Other Paradigms

The most cutting-edge read on the pricing, modeling, and
management of credit risk available

The rise of credit risk measurement and the credit derivatives
market started in the early 1990s and has grown ever since. For
many professionals, understanding credit risk measurement as a
discipline is now more important than ever. Credit Risk
Measurement, Second Edition has been fully revised to
reflect the latest thinking on credit risk measurement and to
provide credit risk professionals with a solid understanding of the
alternative approaches to credit risk measurement.

This readable guide discusses the latest pricing, modeling, and
management techniques available for dealing with credit risk. New
chapters highlight the latest generation of credit risk measurement
models, including a popular class known as intensity-based models.
Credit Risk Measurement, Second Edition also analyzes
significant changes in banking regulations that are impacting
credit risk measurement at financial institutions. With fresh
insights and updated information on the world of credit risk
measurement, this book is a must-read reference for all credit risk
professionals.

Anthony Saunders (New York, NY) is the John M. Schiff
Professor of Finance and 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. He is the editor of the
Journal of Banking and Finance and the Journal of
Financial Markets, Instruments and Institutions.

Linda Allen (New York, NY) is Professor of Finance at
Baruch College and Adjunct Professor of Finance at the Stern School
of Business at New York University. She also is author of
Capital Markets and Institutions: A Global View (Wiley:
0471130494).

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professionals looking to increase their financial expertise.

Table of Content

List of Abbreviations.

Why New Approaches to Credit Risk Measurement and Management?

Traditional Approaches to Credit Risk Measurement.

The BIS Basel International Bank Capital Accord: January
2002.

Loans as Options: The KMV and Moody’s Models.

Reduced Form Models: KPMG’s Loan Analysis System and Kamakura’s
Risk Manager.

The VAR Approach: Credit Metrics and Other Models.

The Macro Simulation Approach: The Credit Portfolio View and Other
Models.

The Insurance Approach: Mortality Models and the CSFP Credit Risk
Plus Model.

A Summary and Comparison of New Internal Model Approaches.

Overview of Modern Portfolio Theory and Its Application to Loan
Portfolios.

Loan Portfolio Selection and Risk Management.

Stress Testing Credit Risk Models: Algorithmics
Mark-to-Future.

Risk-Adjusted Return on Capital Models.

Off-Balance-Sheet Credit Risk.

Credit Derivatives.

Bibliography.

Notes.

Index.

About the author

ANTHONY SAUNDERS is John M. Schiff Professor of Finance and 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 and the
Council of Research Advisors for the Federal National Mortgage
Association. He is an editor of the Journal of Banking and Finance
and Financial Markets, Instruments, and Institutions.

LINDA ALLEN is Professor of Finance at the Zicklin School of
Business at Baruch College, CUNY, and Adjunct Professor of Finance
at the Stern School of Business at New York University. She is also
the author of Capital Markets and Institutions: A Global View
(Wiley). She is an associate editor of the Journal of Banking and
Finance, Journal of Economics and Business, Multinational Finance
Journal, Journal of Multinational Financial Management, and The
Financier.