The handbook of credit risk management : originating, assessing, and managing credit exposures

Online-Ressource (1 online resource)

Includes index

The Handbook of Credit Risk Management; Contents; Preface; Acknowledgments; Part One Origination; Chapter 1 Fundamentals of Credit Risk; What Is Credit Risk?; Types of Transactions That Create Credit Risk; Who Is Exposed to Credit Risk?; Financial Institutions; Corporates; Individuals; Why Manage Credit Ri sk?; Chapter 2 Governance; Guidelines; Creation and Approval Process; Promulgating and Maintaining Guidelines; Content of Guidelines; Breach of Guidelines; Setting Limits; Skill; Defining Risk Parameters; Delegation of Authority; Credit Committees; Oversight; Independence; Qualifications

Proximity to the Business UnitOpen Mind; Final Words; Chapter 3 Checklist for Origination; Does the Transaction Fit into My Strategy?; Does the Risk Fit into My Existing Portfolio?; Do I Understand the Credit Risk?; Does the Seller Keep an Interest in the Deal?; Are the Proper Mitigants in Place?; Is the Legal Documentation Satisfactory?; Is the Deal Priced Adequately?; Do I Have the Skills to Monitor the Exposure?; Is There an Exit Strategy?; Final Words; Part Two Credit Assessment; Chapter 4 Measurement of Credit Risk; Exposure; Which Exposure Number to Use?; Default Probability

Step 1: Rating of a CounterpartyStep 2: Use Historical Data; The Recovery Rate; The Tenor; Direct versus Contingent Exposure; The Expected Loss; Chapter 5 Dynamic Credit Exposure; Long-Term Supply Agreements; Derivative Products; The Economic Value of a Contract; MARK-TO-MARKET VALUATION; Value at Risk (VaR); Chapter 6 Fundamental Credit Analysis; Accounting Basics; The Balance Sheet; The P&L (Income Statement); The Cash Flow Statement; Smell Test; A Typical Credit Report; General Information; Qualitative Assessment; Quantitative Assessment

Agency Conflict, Incentives, and Merton's View of Default RiskThe Agency Relationship; Misalignment of Incentives; Capital Structure; Merton Model; Final Words; Chapter 7 Alternative Estimations of Credit Quality; The Evolution of an Indicator: Moody's Analytics EDF ™; The Merton Model Foundation to Moody's Analytics EDF ™; Expected Default Frequencies; Pros and Cons of EDFs™; From EDFs™ to Ratings; Other Vendors; Credit Default Swap Prices; Where to Find CDS Prices; What to Do with CDS Prices?; Pricing; Caveats When Using CDS Prices; Bond Prices; Final Words; Chapter 8 Securitization

Asset Securitization OverviewFunctions within the Securitization Process; The Building Blocks; The Collateral; Collateral Assessment; The Issuer; The Securities; Assessment of Securities; Main Families of ABSs; Residential Mortgage-Backed Securities; Commercial Real Estate; Other Consumer Assets; Other Transactions; Securitization for Risk Transfer; Credit Risk Assessment of ABSs; Warehousing Risk; Final Words; Part Three Portfolio Management; Chapter 9 Credit Portfolio Management; Level 1; Aggregation; Reporting; Credit Limits; Surveillance; Mitigation; Level 2

Quantification of the Capital at Risk

Electronic reproduction; Available via World Wide Web

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ECONIS - Online Catalogue of the ZBW