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In recent years, enormous strides have been made in the art and science of credit risk measurement and management. Much of the energy in this area has resulted from dissatisfaction with traditional approaches to credit risk measurement and with the current Bank for International Settlements (BIS) regulatory model. Specifically, under the current regulatory structure, established by the BIS in 1988 in cooperation with the world’s major central banks, and implemented in January 1993, virtually all private-sector loans are subject to an 8 percent capital requirement with no account being taken of either: (1) credit quality differences among private-sector borrowers or (2) the potential for credit risk reduction via loan. | WILEY FINANCE Credit Risk Measurement New Approaches to Value at Risk and Other Paradigms Second Edition ANTHONY SAUNDERS LINDA ALLEN measurement Founded in 1807 John Wiley Sons is the oldest independent publishing company in the United States. With offices in North America Europe Australia and Asia Wiley is globally committed to developing and marketing print and electronic products and services for our customers professional and personal knowledge and understanding. The Wiley Finance series contains books written specifically for finance and investment professionals as well as sophisticated individual investors and their financial advisors. Book topics range from portfolio management to e-commerce risk management financial engineering valuation and financial instrument analysis as well as much more. For a list of available titles visit our Web site at .
