Managing Credit Risk: The Great Challenge for Global Financial Markets

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John Wiley & Sons, Jul 12, 2011 - Business & Economics - 628 pages
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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.
 

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Contents

About the Authors
Credit Risk
Credit Culture
Classic Industry Players
ThePortfolio Managers
Structural Hubs
TheRating Agencies
Classic Credit Analysis Credit Analysis as anExpert System
Default Recovery Rates and LGD
Recent Contributions
Some Final References
Credit Risk Migration
Current Portfolio Approaches
Application of Portfolio Approaches Mkmvs Portfolio Manager
Credit Derivatives
Seller

AssetBased Lending and Lease Finance
Introduction to Credit Risk Models
Altman andSabato Sme Model Riskcalc Model By MoodysKMV
Corporate Credit Risk Models Based
DebtisLike SellingaPutOption TheEdf Model
Structural Models
Consumer Finance Models Credit Screening Models
Credit Models for Small BusinessReal Estate and Financial Institutions
Testing and Implementation of Credit
About Corporate Default Rates HighYield Bond Default Rates
Forecasting Default Rates
Chapter
Risk
CountryRisk Models
Country Risk Management
Structured Finance
New MarketsNew Players New Ways
A ShiftingMixofCollateral
Market Chaos and a Reversion to
Appendix
Index
Copyright

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About the author (2011)

John B. Caouette is the former vice chairman of MBIA Insurance Corporation and is currently Chairman of Channel Capital Group, a European-based credit derivative products company.

Edward I. Altman, PhD, MBA, is the Max L. Heine Professor of Finance at the Stern School of Business, New York University. Previously, he chaired the Stern School's MBA Program for twelve years. He has been acclaimed as the world's leading academic on credit risk and distressed and high-yield debt for most of his forty-year career.

Paul Narayanan is Director of Credit Portfolio Analytics at American International Group, Inc. He has been involved with credit risk management for more than two decades and in the development and deployment of analytical solutions for credit issues.

Robert W. J. Nimmo is the former group risk director of Barclays PLC, where he was responsible for all the risk management activities of the group covering credit, market, operational risk, and compliance. He was also the chief risk officer for Wachovia Corporation (2000–2001) and for Westpac Banking Corporation (1993–2000).

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