Analysis and comparision of credit risk methodologies
In 1993, the Bank for International Settlements (BIS) proposed a method by which financial market risk would be charged. The proposed methodology proved to be so unpopular that that it galvanized the trading community into trying to find a common measurement standard to measure market risk. In 1994,...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
2008
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| Online Access: | http://hdl.handle.net/10356/6748 |
| _version_ | 1826128537535381504 |
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| author | Leong, Kok Choong. Lim, Han Kiat. |
| author2 | Ho, Kim Wai |
| author_facet | Ho, Kim Wai Leong, Kok Choong. Lim, Han Kiat. |
| author_sort | Leong, Kok Choong. |
| collection | NTU |
| description | In 1993, the Bank for International Settlements (BIS) proposed a method by which financial market risk would be charged. The proposed methodology proved to be so unpopular that that it galvanized the trading community into trying to find a common measurement standard to measure market risk. In 1994, with the publication of the RiskMetrics Technical Document, J.P.Morgan gave the world their vision of how market risk should be managed and value-at-risk (VAR) soon became a huge success. In April 1995, the BIS formally adopted VAR as the template for calculating market risk capital. Over the four to five years that followed, market risk and VAR were on every bank's agenda. |
| first_indexed | 2024-10-01T07:26:34Z |
| format | Thesis |
| id | ntu-10356/6748 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T07:26:34Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/67482020-09-26T21:23:57Z Analysis and comparision of credit risk methodologies Leong, Kok Choong. Lim, Han Kiat. Ho, Kim Wai Centre for Financial Engineering DRNTU::Business::Finance::Risk management In 1993, the Bank for International Settlements (BIS) proposed a method by which financial market risk would be charged. The proposed methodology proved to be so unpopular that that it galvanized the trading community into trying to find a common measurement standard to measure market risk. In 1994, with the publication of the RiskMetrics Technical Document, J.P.Morgan gave the world their vision of how market risk should be managed and value-at-risk (VAR) soon became a huge success. In April 1995, the BIS formally adopted VAR as the template for calculating market risk capital. Over the four to five years that followed, market risk and VAR were on every bank's agenda. Master of Science 2008-09-17T13:52:16Z 2008-09-17T13:52:16Z 2000 2000 Thesis http://hdl.handle.net/10356/6748 en Nanyang Technological University 80 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Risk management Leong, Kok Choong. Lim, Han Kiat. Analysis and comparision of credit risk methodologies |
| title | Analysis and comparision of credit risk methodologies |
| title_full | Analysis and comparision of credit risk methodologies |
| title_fullStr | Analysis and comparision of credit risk methodologies |
| title_full_unstemmed | Analysis and comparision of credit risk methodologies |
| title_short | Analysis and comparision of credit risk methodologies |
| title_sort | analysis and comparision of credit risk methodologies |
| topic | DRNTU::Business::Finance::Risk management |
| url | http://hdl.handle.net/10356/6748 |
| work_keys_str_mv | AT leongkokchoong analysisandcomparisionofcreditriskmethodologies AT limhankiat analysisandcomparisionofcreditriskmethodologies |