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Managing Credit Risk
The Great Challenge for Global Financial Markets
John B. Caouette (Author), Edward I. Altman (Author), Paul Narayanan (Author), Robert Nimmo (Author)
9780470118726, Wiley
Hardback, published 6 June 2008
656 pages, Screen captures: 89 B&W, 0 Color; Tables: 115 B&W, 0 Color
23.6 x 16.3 x 4.8 cm, 0.889 kg
Managing Credit Risk, Second Edition opens with a detailed discussion of today’s global credit markets—touching on everything from the emergence of hedge funds as major players to the growing influence of rating agencies. After gaining a firm understanding of these issues, you’ll be introduced to some of the most effective credit risk management tools, techniques, and vehicles currently available. If you need to keep up with the constant changes in the world of credit risk management, this book will show you how.
About the Authors xi Introduction xv Chapter 1 Credit Risk: The Great Challenge For The Global Economy 1 Chapter 2 Credit Culture 23 Chapter 3 Classic Industry Players: Banks, Savings Institutions, Insurance: Companies, Finance Companies, and Special Purpose Entities 41 Chapter 4 The Portfolio Managers: Investment Managers, Mutual Funds, Pension Funds, and Hedge Funds 59 Chapter 5 Structural Hubs: Clearinghouses, Derivative Product Companies, and Exchanges 69 Chapter 6 The Rating Agencies 81 Chapter 7 Classic Credit Analysis 103 Chapter 8 Asset-Based Lending and Lease Finance 117 Chapter 9 Introduction to Credit Risk Models 127 Chapter 10 Credit Risk Models Based upon Accounting Data and Market Values 139 Chapter 11 Corporate Credit Risk Models Based on Stock Price 181 Chapter 12 Consumer Finance Models 201 Chapter 13 Credit Models for Small Business, Real Estate, and Financial Institutions 223 Chapter 14 Testing and Implementation of Credit Risk Models 237 Chapter 15 About Corporate Default Rates 251 Chapter 16 Default Recovery Rates and LGD in Credit Risk Modeling and Practice 277 Chapter 17 Credit Risk Migration 311 Chapter 18 Introduction to Portfolio Approaches 325 Chapter 19 Economic Capital and Capital Allocation 349 Chapter 20 Application of Portfolio Approaches 367 Chapter 21 Credit Derivatives 411 Chapter 22 Counterparty Risk 437 Chapter 23 Country Risk Models 455 Chapter 24 Structured Finance 475 Chapter 25 New Markets, New Players, New Ways to Play 509 Chapter 26 Market Chaos and a Reversion to the Mean: The Rediscovery of Culture as a Critical Risk Management Tool 539 Notes 553 Appendix 569 Index 607
Subject Areas: Finance & accounting [KF]
