Measuring and Managing Credit Risk / Edition 1

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Overview

State-of-the-art tools and techniques for controlling credit risk exposure of all types, in every environment

The oldest risk in world financial markets—credit risk—has become a leading source of problems and confusion, not just for bankers and investors but for all finance professionals. The Standard & Poor's Guide to Measuring and Managing Credit Risk will help you understand every aspect of credit risk, and provide you with today's most up-to-date techniques and models for identifying, measuring, monitoring, and controlling your organization's credit risk exposure.

Praise for The Standard & Poor's Guide to Measuring and Managing Credit Risk:

"de Servigny and Renault have written a valuable reference book on the analytics of credit markets.  Theory and data are integrated seamlessly throughout the manuscript.  The mathematical treatment is complete, though not overbearing. The economics, pricing, structuring and capital allocation aspects are artfully combined into a coherent whole."

—Jamil Baz, Global Head of Fixed Income Research, Deutsche Bank

"This is much more than just a 'how to' book—it is analytically complete in that it looks at the microeconomics of industry structure to understand why credit risks have to be measured and monitored as well as being comprehensive in covering all the different approaches used to monitor and measure credit risk."

—Bunt Ghosh, Global Head of Fixed Income Research, Credit Suisse First Boston

"This extensive work, really clear while dealing with sophisticated methodologies, is right in the heart of today's concerns."

—Jean-Pierre Mustier, CEO, SG Corporate and Investment Banking

"de Servigny and Renault provide a comprehensive treatment of all aspects of modern credit risk measurement, management, and mitigation, not only for large corporations but also for retail and small business (with an excellent chapter on credit scoring). This book is an absolute must for both academics and risk professionals, especially those struggling with the implementation of Basel II."

—Michel Crouhy, Head of Business Analytic Solutions, Canadian Imperial Bank of Commerce

Fast-changing regulations, transformative technologies, and today's go-for-broke business mentality present investment banks and other lenders with default problems that are both unprecedented and daunting. To keep pace with this change, finance professionals are finding they must continually review and upgrade their credit risk management tools and techniques.

The Standard & Poor's Guide to Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firm's credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with discerning data and insights, this authoritative book examines every key aspect of credit risk, including:

  • Determinants of credit risk and pricing/spread implications
  • Quantitative models for moving beyond Altman's Z score to separate "good" borrowers from "bad"
  • Key determinants of loss given default, and potential links between recovery rates and probabilities of default
  • Measures of dependency including linear correlation, and the impact of correlation on portfolio losses
  • A detailed review of five of today's most popular portfolio models—CreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, CreditRisk+, and Portfolio Manager
  • How credit risk is reflected in the prices and yields of individual securities
  • How derivatives and securitization instruments can be used to transfer and repackage credit risk

Today's credit risk measurement and management tools and techniques provide organizations with dramatically improved strength and flexibility, not only in mitigating risk but also in improving overall financial performance. The Standard & Poor's Guide to Measuring and Managing Credit Risk introduces and explores each of these tools, along with the rapidly evolving global credit environment, to provide bankers and other financial decision-makers with the know-how to avoid excessive credit risk where possible—and mitigate it when necessary.

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Product Details

  • ISBN-13: 9780071417556
  • Publisher: McGraw-Hill Professional Publishing
  • Publication date: 4/14/2004
  • Edition number: 1
  • Pages: 388
  • Sales rank: 1,046,568
  • Product dimensions: 6.40 (w) x 9.30 (h) x 1.17 (d)

Meet the Author

Arnaud de Servigny, Ph.D., is the head of Quantitative Analytics for Standard & Poor's. A popular speaker at conferences and seminars throughout Europe, de Servigny is the author of a number of books and articles on finance and credit risk.

Olivier Renault, Ph.D., works in portfolio modeling in the quantitative analytics and products team for Standard & Poor's Risk Solutions. Prior to joining Standard and Poor's, Olivier was a lecturer on finance at the London School of Economics where he taught derivatives and risk.

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Table of Contents

Foreword
Introduction
Acknowledgments
Ch. 1 Credit, financial markets, and microeconomics 1
Ch. 2 External and internal ratings 23
Ch. 3 Default risk : quantitative methodologies 63
Ch. 4 Loss given default 117
Ch. 5 Default dependencies 167
Ch. 6 Credit risk portfolio models 213
Ch. 7 Credit risk management and strategic capital allocation 271
Ch. 8 Yield spreads 309
Ch. 9 Structured products and credit derivatives 347
Ch. 10 Regulation 383
Epilogue 415
Notes 417
References 437
Index 453
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