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

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Overview

Praise for Managing Credit Risk



"Against a backdrop of radical industry evolution, the authors of Managing Credit Risk provide a concise and practical overview of these dramatic markets and technical developments in a book that has become a standard reference in the field."

—Thomas C. Wilson, Chief Insurance Risk Officer, ING Group

"Managing Credit Risk is an outstanding intellectual achievement. The authors have provided investors with a comprehensive view of the state of credit analysis as the implications of the financial engineering revolution become fully revealed."

—Martin S. Fridson, CFA, Chief Executive Officer, FridsonVision LLC

"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 subject."

—Brian Ranson, Managing Director, Moody's Analytics

"This book straddles the vast landscape of the credit market, reflecting the major changes in the past decade, namely the commoditization of credit risk by sophisticated players, through the use of synthetic securities, securitization, and the application of advanced quantitative tools. I know of no other book on the subject with as comprehensive a coverage of this fast-growing field."

—Sanjiv Das, Professor of Finance, Santa Clara University

"At just the right time, the authors of Managing Credit Risk give us an up-to-date and comprehensive look at the complex, internationally connected world of credit. The author illuminates the subject with depth anddelivers it in a writing style that will stimulate rather than dull the brain for what could have been a very dry topic."

—Barrett Burns, President and CEO, VantageScore Solutions LLC

"Managing Credit Risk lays out in clear terms the multiple innovations that we have seen in the credit markets including quantitative analysis of both consumer and corporate financing and portfolio management, securitization and structured financing, derivatives, and other tools. The authors, strongly and correctly, maintain that these innovations must be used by all originators and investors in credit assets in the context of a strong credit risk management culture."

—Philip Sherman, financial services industry consultant

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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: 628
  • Product dimensions: 5.90 (w) x 9.00 (h) x 2.10 (d)

Table of Contents

Preface
Introduction 1
1 Credit Risk: The Next Great Challenge of the Financial Markets 9
2 Credit Culture 23
3 Classic Industry Players - Banks, Finance Companies, Insurance Companies, Industrial Companies 34
4 Portfolio Managers - Investment Managers Unit Trusts, Mutual Funds, Pension Funds 51
5 Structural Hubs: Derivative Dealers, Clearinghouses, and Exchanges 58
6 Rating Agencies 65
7 Classic Credit Analysis 82
8 Asset-Based Lending 95
9 Introduction to Credit Risk Models 102
10 Credit Risk Models Based on Accounting Data and Market Values 112
11 Corporate Credit Risk Models Based on Stock Price 139
12 Consumer Finance Models 154
13 Credit Models for Small Business, Real Estate, and Financial Institutions 172
14 Testing and Implementation of Credit Risk Models 183
15 Default Rates, Losses, and Recoveries 193
16 Credit Risk Migration 217
17 Introduction to Portfolio Approaches 231
18 Credit Pricing, Risk-Adjusted Return, and Allocation of Capital 251
19 Applications of Portfolio Approaches 267
20 Credit Derivatives 303
21 Credit Risk of Derivatives 322
22 Country Risk Models 338
23 Structured Finance 357
24 A New World Driven by Analytics and Diversifying Agents 381
25 The Rediscovery of Culture as a Primary Management Tool 405
Appendix: sources of Information for Credit Risk 411
Index 443
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