Managing Credit Risk The Great Challenge for Global Financial Markets

by Caouette, John B.; Altman, Edward I.; Narayanan, Paul; Nimmo, Robert

• ISBN13: 9780470118726
• ISBN10: 0470118725
• Edition: 2nd
• Format: Hardcover
• Copyright: 2008-05-16
• Publisher: Wiley

Summary

Managing Credit Risk, Second Edition opens with a detailed discussion of today's global credit markets-touching on everything from the emergence of hedge funds as major players to the growing influence of rating agencies. After gaining a firm understanding of these issues, you'll be introduced to some of the most effective credit risk management tools, techniques, and vehicles currently available. If you need to keep up with the constant changes in the world of credit risk management, this book will show you how.

Author Biography

John B. Caouette is the former vice chairman of MBIA Insurance Corporation and is currently Chairman of Channel Capital Group, a European-based credit derivative products company.

Edward I. Altman, PhD, MBA, is the Max L. Heine Professor of Finance at the Stern School of Business, New York University. Previously, he chaired the Stern School's MBA Program for twelve years. He has been acclaimed as the world's leading academic on credit risk and distressed and high-yield debt for most of his forty-year career.

Paul Narayanan is Director of Credit Portfolio Analytics at American International Group, Inc. He has been involved with credit risk management for more than two decades and in the development and deployment of analytical solutions for credit issues.

Robert W. J. Nimmo is the former group risk director of Barclays PLC, where he was responsible for all the risk management activities of the group covering credit, market, operational risk, and compliance. He was also the chief risk officer for Wachovia Corporation (2000–2001) and for Westpac Banking Corporation (1993–2000).

Table of Contents

About the Authors	p. xi
Introduction	p. xv
Credit Risk: The Great Challenge For The Global Economy	p. 1
Credit Culture	p. 23
Classic Industry Players: Banks, Savings Institutions, Insurance: Companies, Finance Companies, and Special Purpose Entities	p. 41
The Portfolio Managers: Investment Managers, Mutual Funds, Pension Funds, and Hedge Funds	p. 59
Structural Hubs: Clearinghouses, Derivative Product Companies, and Exchanges	p. 69
The Rating Agencies	p. 81
Classic Credit Analysis	p. 103
Asset-Based Lending and Lease Finance	p. 117
Introduction to Credit Risk Models	p. 127
Credit Risk Models Based upon Accounting Data and Market Values	p. 139
Corporate Credit Risk Models Based on Stock Price	p. 181
Consumer Finance Models	p. 201
Credit Models for Small Business, Real Estate, and Financial Institutions	p. 223
Testing and Implementation of Credit Risk Models	p. 237
About Corporate Default Rates	p. 251
Default Recovery Rates and LGD in Credit Risk Modeling and Practice	p. 277
Credit Risk Migration	p. 311
Introduction to Portfolio Approaches	p. 325
Economic Capital and Capital Allocation	p. 349
Application of Portfolio Approaches	p. 367
Credit Derivatives	p. 411
Counterparty Risk	p. 437
Country Risk Models	p. 455
Structured Finance	p. 475
New Markets, New Players, New Ways to Play	p. 509
Market Chaos and a Reversion to the Mean: The Rediscovery of Culture as a Critical Risk Management Tool	p. 539
Notes	p. 553
Appendix	p. 569
Index	p. 607
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