The Handbook of Credit Portfolio Management / Edition 1

The Handbook of Credit Portfolio Management / Edition 1

by Greg N. Gregoriou, Christian Hoppe
     
 

As the credit bubble fallout plagues the institutional finance sector--and will continue to do so in coming years--a strategic approach to credit portfolio management has never been more critical. The Handbook of Credit Portfolio Management provides all the information you'll need to successfully rebalance and manage your credit portfolios.

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Overview

As the credit bubble fallout plagues the institutional finance sector--and will continue to do so in coming years--a strategic approach to credit portfolio management has never been more critical. The Handbook of Credit Portfolio Management provides all the information you'll need to successfully rebalance and manage your credit portfolios.

Together with co-author Christian Hoppe and a team of thirty-five international contributors, Greg N. Gregoriou provides strategies for calculating risk-weighted assets, reevaluating hedging strategies, and implementing Basel II standards. Providing a thoroughly global perspective of the subject, this comprehensive guide includes input from Moorad Choudhry (Group Head of Treasury at Europe Arab Bank plc, London); Christophe Godlewski (Université Louis Pasteur in Strasbourg, France); Roland Fuss (University of Freiburg, Germany); and Valerio Potí (Trinity College in Dublin, Ireland), who shed light on such key topics as:

  • Investment opportunities of hedge funds
  • Basis arbitrage trading strategies
  • Issues regarding securitization of a sector basket
  • Cost-saving aspects of portfolio hedging with credit futures

The Handbook of Credit Portfolio Management covers the latest developments and most current portfolio management techniques to help you implement strategies that best suit your institution's needs.

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Product Details

ISBN-13:
9780071598347
Publisher:
McGraw-Hill Professional Publishing
Publication date:
09/22/2008
Series:
[McGraw-Hill Finance and Investing] Series
Pages:
504
Product dimensions:
6.50(w) x 9.10(h) x 1.60(d)

Table of Contents

Section 1: Performance Measurement

1 Implementing Credit Portfolio Management

2 Credit Portfolio Management under IFRS Accounting

3 Basel II Framework and the Impact of a New Regulatory Universe on Credit Asset Management

4 Basel II Expected Loss in Credit Risk Management

5 Credit Risk Capital Allocation and Performance Measurement

Section Two: Evaluation of Credit Risk

6 Characteristics of Credit Assets and relevance for Credit Portfolio Management

7 Measuring Credit Risk with Emphasis on CDOs

8 Model for the Rating Transitions in a SME Bank Loan Portfolio

9 Cost-to-Securitize as a Transfer Pricing Instrument

10 Mark-to-Market Pricing of Illiquid Loans

Section Three: Managing Credit Exposure

11 A New Age of Liquidity for Bank Debt: Reshaping Loan Portfolio Management

12 Bank Loan Syndication

13 CDS and other Credit Derivatives – Valuation and Application

14 Evaluation of Basket Credit Derivatives and STCDO Swaps

15 Classification and Characterization of CDS-Indices

16 Converting Derivatives Credit Risk Into Market Risk
Section Four: Credit Portfolio Transactions

17 The Strategies of Hedge Funds in Fixed Income Markets

18 Trading CDS: Illustrating Positive and Negative Basis Arbitrage

19 Securitisation of Shipping Loans

20 Legal Issues in Securitizing Risky Loans

21 "How cheap is zero cost protection"

22 Managing Country Risk

23 The Role of Credit Banks in Corporate Workout-Management

Index

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