Credit Risk Measurement and Management
Location: Hotel Mercure, Amsterdam
The art and science of credit risk management has become a very important topic in finance. Much of the energy in this area has resulted from dissatisfaction with traditional approaches to credit risk measurement as well as the current BIS regulatory model. Several new models have seen the light, some of them publicly available, others partially proprietary. Unfortunately, much of the research in the area of credit risk measurement and management has been quite technical and not easily accessible to the interested practitioner, regulator or academic.
The goal of this workshop is to fill this gap. This will be done by extensively covering the ins and outs of the most modern credit risk models, including the KMV model, Creditmetrics, Credit Risk +, the Credit Portfolio View and the Loan Analysis System. Prof. Saunders is the eminent expert in this field. He recently published the book "Credit Risk Measurement: Value-At Risk and Other Paradigms". This book will be made available to all participants.
Professor Anthony Saunders
Professor Saunders is the John M. Schiff Professor of Finance at the Stern School of Business, New York University. He has been affiliated with NYU since 1978. He is an expert on bank management. He has acted as a consultant to various banks, insurance companies and central banks. He has carried out numerous studies for The World Bank on a wide range of banking and regulatory issues. He holds positions on several boards, including the Board of Academic Consultants of the Federal Reserve Board of Governors. His research has been published in all major money and banking journals and several books.