Credit Portfolio Management
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Credit Portfolio Management

by Charles Smithson
     
 

A cutting-edge text on credit portfolio management
Credit risk. A number of market factors are causing revolutionary changes in the way it is measured and managed at financial institutions. Charles Smithson, author of the bestselling Managing Financial Risk, introduces a portfolio management approach to credit in his latest book. Understanding how to manage the

Overview

A cutting-edge text on credit portfolio management
Credit risk. A number of market factors are causing revolutionary changes in the way it is measured and managed at financial institutions. Charles Smithson, author of the bestselling Managing Financial Risk, introduces a portfolio management approach to credit in his latest book. Understanding how to manage the inherent risks of this market has become increasingly important over the years. Credit Portfolio Management provides readers with a complete understanding of the alternative approaches to credit risk measurement and portfolio management. This definitive guide discusses the pricing and managing of credit risks associated with a variety of off-balance-sheet products such as credit default swaps, total return swaps, first-to-default baskets, and credit spread options; as well as on-balance-sheet customized structured products such as credit-linked notes, repackage notes, and synthetic collateralized debt obligations (CDOs). Filled with expert insight and advice, this book is a must-read for all credit professionals.
Charles W. Smithson, PhD (New York, NY), is the Managing Partner of Rutter Associates and Executive Director of the International Association of Credit Portfolio Managers (IACPM). He is the author of five books, including The Handbook of Financial Engineering and Managing Financial Risk (now in its Third Edition).

Product Details

ISBN-13:
9780471324157
Publisher:
Wiley
Publication date:
02/07/2003
Series:
Wiley Finance Series, #164
Pages:
352
Product dimensions:
6.00(w) x 9.00(h) x 0.94(d)

What People are saying about this

Loretta M. Hennessey
This book comprehensively captures the framework supporting the entrepreneurial and innovative behavior taking hold among banks as the measures, models, and implementation strategies surrounding the business of managing credit portfolios continues to evolve. Charles Smithson's insightful analysis provides a strong foundation for those wanting to move up the learning curve quickly. A 'must read' for credit portfolio managers and those who aspire to be!
Stuart Braman
The path to effectively managing credit risk begins with reliable data on default probabilities and loss given default. Charles Smithson's book is an excellent resource for information on sources of data for credit portfolio management, as well as a readable framework for understanding the entire credit portfolio management process.
Fishkin Charles A.
This book takes a complex subject and makes it accessible and practical. The discussion of economic capital is particularly relevant to any firm that wants to enhance value for its stakeholders. This is important reading for students, regulators, CFOs, and risk managers.

Meet the Author

CHARLES W. SMITHSON is the Managing Partner of Rutter Associates. His career has spanned the gamut, with positions in academia, government, and the private sector. Smithson most recently worked for CIBC, where he created the School of Financial Products. He was formerly Managing Director for Risk Management Research and Education at Chase Manhattan Bank, and Managing Director for Risk Management Research at Continental Bank. The author of numerous articles in professional and academic journals, Smithson is best known as the originator of the "Building Block Approach" to Financial Products. He is the author of five books, including The Handbook of Financial Engineering and Managing Financial Risk (now in its third edition). Smithson was instrumental in the formation of the International Association of Credit Portfolio Managers (IACPM) and served as its first Executive Director. Smithson served as a member of the Working Group for the Global Derivatives Project, sponsored by the Group of Thirty, and on the board of directors of the International Swaps and Derivatives Association (ISDA). Smithson received his PhD in economics from Tulane University.

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