Managing Credit Risk: The Great Challenge for Global Financial Markets
John Wiley & Sons, Jul 12, 2011 - Business & Economics - 528 pages
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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Altman andthe approach assessment assetbased assets bankruptcy banks Basel II bond rating borrower capital cash flows changes Chapter collateral commercial companies company’s consumer Corporate Bond correlation counterparty countries credit derivatives credit markets credit quality credit scoring credit spread CreditMetrics debt default probability default rates developed distribution economic equity estimates example expected exposure factors FIGURE financial ratios firm firm’s Fitch Ratings global Goldman Sachs hedge funds highyield industry interest rate interest rate swap inthe investment issuers issues Journal JPMorgan lenders lending leverage liquidity loans longterm market risk measure migration Moody’s Moody’s Investors Service mortgage ofdefault ofthe onthe option percent performance portfolio management prediction provides rating agencies ratio recovery rates risk management sample securities securitization senior Source Standard & Poor’s statistical structured finance Structured Investment Vehicles subprime swap TABLE techniques tothe trading transaction unexpected losses variables volatility ZScore