Credit Risk Management

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John Wiley & Sons, Sep 4, 2012 - Business & Economics - 447 pages
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The importance of managing credit and credit risks carefully and appropriately cannot be overestimated. The very success or failure of a bank and the banking industry in general may well depend on how credit risk is handled.

Banking professionals must be fully versed in the risks associated with credit operations and how to manage those risks. This up-to-date volume is an invaluable reference and study tool that delves deep into issues associated with credit risk management.

Credit Risk Management from the Hong Kong Institute of Bankers (HKIB)discusses the various ways through which banks manage risks. Essential for candidates studying for the HKIB Associateship Examination, it can also help those who want to acquire a deeper understanding of how and why banks make decisions and set up processes that lower their risk.

Topics covered in this book include:

  • Active credit portfolio management
  • Risk management, pricing, and capital adequacy
  • Capital requirements for banks
  • Approaches to credit risk management
  • Structural models and probability of default
  • Techniques to determine loss given default
  • Derivatives and structured products
 

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Contents

Active Credit Portfolio Management
27
Capital Adequacy Framework
43
CAPITAL REQUIREMENTS
59
Internal RatingsBased Approach
89
CREDIT RISK AND PORTFOLIO MODELS
123
Econometric Models
159
Loss Given Default
203
Reducedform Models
223
PD Model Validation
259
Portfolio Models
315
CREDIT DERIVATIVES
383
Structured Credit Products
415
Index
433
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About the author (2012)

Industrial and Commercial Bank of China (Asia) Limited (ICBC (Asia)) is delighted to sponsor this resource book. ICBC (Asia), the flagship of the Hong Kong banking business of Industrial and Commercial Bank of China Limited (ICBC), currently the world's largest commercial bank by market capitalization, offers a wide range of financial services to corporate and individual customers. The Bank is renowned for its provision of cross-border financial services and RMB-related services.

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