Managing Credit Risk: The Great Challenge for Global Financial Markets / Edition 2

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It would be an understatement to say that the field offinance—specifically the credit arena—has changed inthe decade since the first edition of Managing Credit Risk waspublished. Ten years later, things look a lot different. Creditrisk has grown in scope and complexity against the backdrop ofglobal economic, political, and technological change, and there arealso many more tools, much more information, and some important newplayers to deal with.

That's why John Caouette, Edward Altman, Paul Narayanan, andRobert Nimmo have created Managing Credit Risk, Second Edition.Fully revised and updated to reflect the numerous developmentswithin the discipline, this timely title combines state-of-the-artcredit risk solutions with the practical perspectives of leadingexperts who have successfully implemented them.

Written with the serious financial professional in mind,Managing Credit Risk, Second Edition opens with a detaileddiscussion of today's global credit markets—touching oneverything from the emergence of hedge funds as major players tothe growing influence of rating agencies. After gaining a firmunderstanding of these issues, you'll be introduced to some of themost effective credit risk management tools, techniques, andvehicles currently available, including:

  • Credit models for small business, real estate, and emergingmarket companies
  • Default recovery rates and "loss given default" in credit riskmodeling and practice
  • Credit risk models based on accounting data and marketvalues
  • Testing and implementation of credit risk models
  • The most popular forms of credit derivatives and approaches thatcan be used to analyze counterparty credit risk and much more

Rounding out this discussion of credit risk management, theauthors skillfully integrate emerging trends in the financialmarkets with the new methods mentioned. This will allow you toquickly apply the lessons outlined throughout these pages totoday's dynamic credit environment.

In recent years, credit risk has become pervasive throughout theworld. The dramatic growth in borrowing by all segments ofsociety—from corporations and consumers togovernments—clearly illustrates the scale of this creditexplosion. If you need to keep up with the constant changes in theworld of credit risk management, and want to improve your overallunderstanding of this field, then look no further than ManagingCredit Risk, Second Edition.

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Editorial Reviews

Martin S. Fridson
Managing Credit Risk is an outstanding intellectual achievement. The authors have provided investors a comprehensive view of the state of credit analysis at the end of the millennium.
Thomas C. Wilson
Against a backdrop of radical industry evolution, the authors of Managing Credit Risk: The Next Great Financial Challenge provide a concise and practical overview of these dramatic market and technical developments in a book which is destined to become a standard reference in the field.
B.J. Ranson
This book provides a comprehensive review of credit risk management that should be compulsory reading for not only those who are responsible for such risk but also for financial analysts and investors. An important addition to a significant but neglected subject.
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Product Details

  • ISBN-13: 9780470118726
  • Publisher: Wiley
  • Publication date: 5/16/2008
  • Series: Wiley Finance Series, #401
  • Edition description: Revised
  • Edition number: 2
  • Pages: 528
  • Product dimensions: 5.90 (w) x 9.00 (h) x 2.10 (d)

Meet the Author

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

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

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

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

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Table of Contents

About the Authors.


Chapter 1. Credit Risk: The Great Challenge For The GlobalEconomy.

Chapter 2. Credit Culture.

Chapter 3. Classic Industry Players: Banks, SavingsInstitutions, Insurance: Companies, Finance Companies, and SpecialPurpose Entities.

Chapter 4. The Portfolio Managers: Investment Managers, MutualFunds, Pension Funds, and Hedge Funds.

Chapter 5. Structural Hubs Clearinghouses, Derivative ProductCompanies, and Exchanges.

Chapter 6. The Rating Agencies.

Chapter 7. Classic Credit Analysis.

Chapter 8. Asset-Based Lending and Lease Finance.

Chapter 9. Introduction to Credit Risk Models.

Chapter 10. Credit Risk Models Based upon Accounting Data andMarket Values.

Chapter 11. Corporate Credit Risk Models Based on StockPrice.

Chapter 12. Consumer Finance Models.

Chapter 13. Credit Models for Small Business, Real Estate, andFinancial Institutions.

Chapter 14. Testing and Implementation of Credit RiskModels.

Chapter 15. About Corporate Default Rates.

Chapter 16. Default Recovery Rates and LGD in Credit RiskModeling and Practice.

Chapter 17. Credit Risk Migration.

Chapter 18. Introduction to Portfolio Approaches.

Chapter 19. Economic Capital and Capital Allocation.

Chapter 20. Application of Portfolio Approaches.

Chapter 21. Credit Derivatives.

Chapter 22. Counterparty Risk.

Chapter 23. Country Risk Models.

Chapter 24. Structured Finance.

Chapter 25. New Markets, New Players, New Ways to Play.

Chapter 26. Market Chaos and a Reversion to the Mean: TheRediscovery of Culture as a Critical Risk Management Tool.




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