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A survey of cyclical effects in credit risk measurement models

Allen, Linda; Saunders, Anthony - 2002

We survey both academic and proprietary models to examine how macroeconomic and systematic risk effects are incorporated into measures of credit risk exposure. Many models consider the correlation between the probability of default (PD) and cyclical factors.(...)

Persistent link: https://www.econbiz.de/10005846830

Issues in the Credit Risk Modeling of Retail Markets

Allen, Linda; DeLong, Gayle; Saunders, Anthony - 2003

Retail loan markets create special challenges for credit risk assessment. Borrowers tend to be informationally opaque and borrow relatively infrequently.(...)

Persistent link: https://www.econbiz.de/10005846908

Credit risk measurement : new approaches to value at risk and other paradigms

Saunders, Anthony - 1999

Persistent link: https://www.econbiz.de/10000682884

Bank monitoring and CEO risk-taking incentives

Saunders, Anthony; Song, Keke - In: Journal of banking & finance 88 (2018), pp. 225-240

Persistent link: https://www.econbiz.de/10011962906

Financial institutions management : a risk management approach

Saunders, Anthony; Cornett, Marcia Millon - 2006 - 5. ed., international ed.

Persistent link: https://www.econbiz.de/10002198243

Credit risk measurement : new approaches to value at risk and other paradigms

Saunders, Anthony - 1999

Persistent link: https://www.econbiz.de/10004000850

Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms

Saunders, Anthony; Allen, Linda - 2010 - 3. ed.

Persistent link: https://www.econbiz.de/10003892488

Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms

Saunders, Anthony - 2010 - 3rd ed (Online-Ausg.)

A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology....

Persistent link: https://www.econbiz.de/10012683458

Bank Monitoring and CEO Risk-Taking Incentives

Saunders, Anthony - 2017

This paper investigates whether monitoring by bank lenders affects CEO incentives of borrowing firms. We find that an … increase in bank monitoring incentives significantly reduce the sensitivity of CEO wealth to stock return volatility (Vega …). The results are more profound when bank lenders are more powerful and reputable and have a prior lending relationship with …

Persistent link: https://www.econbiz.de/10012972638

Bank relationship loss : the moderating effect of information opacity

Xu, Yuqian; Saunders, Anthony; Xiao, Binqing; Li, Xindan - In: Journal of banking & finance 118 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012520984