The most cutting-edge read on the pricing, modeling, andmanagement of credit risk availableThe rise of credit risk measurement and the credit derivativesmarket started in the early 1990s and has grown ever since. Formany professionals, understanding credit risk measurement as adiscipline is now more important than ever. Credit RiskMeasurement, Second Edition has been fully revised toreflect the latest thinking on credit risk measurement and toprovide credit risk professionals with a solid understanding of thealternative approaches to credit risk measurement.This readable guide discusses the latest pricing, modeling, andmanagement techniques available for dealing with credit risk. Newchapters highlight the latest generation of credit risk measurementmodels, including a popular class known as intensity-based models.Credit Risk Measurement, Second Edition also analyzessignificant changes in banking regulations that are impactingcredit risk measurement at financial institutions. With freshinsights and updated information on the world of credit riskmeasurement, this book is a must-read reference for all credit riskprofessionals.Anthony Saunders (New York, NY) is the John M. SchiffProfessor of Finance and Chair of the Department of Finance at theStern School of Business at New York University. He holds positionson the Board of Academic Consultants of the Federal Reserve Boardof Governors as well as the Council of Research Advisors for theFederal National Mortgage Association. He is the editor of theJournal of Banking and Finance and the Journal ofFinancial Markets, Instruments and Institutions.Linda Allen (New York, NY) is Professor of Finance atBaruch College and Adjunct Professor of Finance at the Stern Schoolof Business at New York University. She also is author ofCapital Markets and Institutions: A Global View (Wiley:0471130494).Over the years, financial professionals around the world havelooked to the Wiley Finance series and its wide array ofbestselling books for the knowledge, insights, and techniques thatare essential to success in financial markets. As the pace ofchange in financial markets and instruments quickens, Wiley Financecontinues to respond. With critically acclaimed books by leadingthinkers on value investing, risk management, asset allocation, andmany other critical subjects, the Wiley Finance series provides thefinancial community with information they want. Written to provideprofessionals and individuals with the most current thinking fromthe best minds in the industry, it is no wonder that the WileyFinance series is the first and last stop for financialprofessionals looking to increase their financial expertise.

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: January2002.Loans as Options: The KMV and Moody's Models.Reduced Form Models: KPMG's Loan Analysis System and Kamakura'sRisk Manager.The VAR Approach: CreditMetrics and Other Models.The Macro Simulation Approach: The CreditPortfolio View and OtherModels.The Insurance Approach: Mortality Models and the CSFP Credit RiskPlus Model.A Summary and Comparison of New Internal Model Approaches.Overview of Modern Portfolio Theory and Its Application to LoanPortfolios.Loan Portfolio Selection and Risk Management.Stress Testing Credit Risk Models: AlgorithmicsMark-to-Future.Risk-Adjusted Return on Capital Models.Off-Balance-Sheet Credit Risk.Credit Derivatives.Bibliography.Notes.Index.