Modern credit risk management: theory and practice

By:

Koulafetis, Panayiota

Material type: Text

TextPublication details: Springer London 2017Description: xvii, 234 pISBN:

9781349960620

Subject(s):

DDC classification:

332.7 KOU

Summary: This book is a practical guide to the latest risk management tools and techniques applied in the market to assess and manage credit risks at bank, sovereign, corporate and structured finance level. It strongly advocates the importance of sound credit risk management and how this can be achieved with prudent origination, credit risk policies, approval process, setting of meaningful limits and underwriting criteria. The book discusses the various quantitative techniques used to assess and manage credit risk, including methods to estimate default probabilities, credit value at risk approaches and credit exposure analysis. Basel I, II and III are covered, as are the true meaning of credit ratings, how these are assigned, their limitations, the drivers of downgrades and upgrades, and how credit ratings should be used in practise is explained. Modern Credit Risk Management not only discusses credit risk from a quantitative angle but further explains how important the qualitative and legal assessment is. Credit risk transfer and mitigation techniques and tools are explained, as are netting, ISDA master agreements, centralised counterparty clearing, margin collateral, overcollateralization, covenants and events of default. Credit derivatives are also explained, as are Total Return Swaps (TRS), Credit Linked Notes (CLN) and Credit Default Swaps (CDS). Furthermore, the author discusses what we have learned from the financial crisis of 2007 and sovereign crisis of 2010 and how credit risk management has evolved. Finally the book examines the new regulatory environment, looking beyond Basel to the European Union (EU) Capital Requirements Regulation and Directive (CRR-CRD) IV, the Dodd–Frank Wall Street Reform and Consumer Protection Act. This book is a fully up to date resource for credit risk practitioners and academics everywhere, outlining the latest best practices and providing both quantitative and qualitative insights. It will prove a must-have reference for the field. (This book is a practical guide to the latest risk management tools and techniques applied in the market to assess and manage credit risks at bank, sovereign, corporate and structured finance level. It strongly advocates the importance of sound credit risk management and how this can be achieved with prudent origination, credit risk policies, approval process, setting of meaningful limits and underwriting criteria. The book discusses the various quantitative techniques used to assess and manage credit risk, including methods to estimate default probabilities, credit value at risk approaches and credit exposure analysis. Basel I, II and III are covered, as are the true meaning of credit ratings, how these are assigned, their limitations, the drivers of downgrades and upgrades, and how credit ratings should be used in practise is explained. Modern Credit Risk Management not only discusses credit risk from a quantitative angle but further explains how important the qualitative and legal assessment is. Credit risk transfer and mitigation techniques and tools are explained, as are netting, ISDA master agreements, centralised counterparty clearing, margin collateral, overcollateralization, covenants and events of default. Credit derivatives are also explained, as are Total Return Swaps (TRS), Credit Linked Notes (CLN) and Credit Default Swaps (CDS). Furthermore, the author discusses what we have learned from the financial crisis of 2007 and sovereign crisis of 2010 and how credit risk management has evolved. Finally the book examines the new regulatory environment, looking beyond Basel to the European Union (EU) Capital Requirements Regulation and Directive (CRR-CRD) IV, the Dodd–Frank Wall Street Reform and Consumer Protection Act. (This book is a fully up to date resource for credit risk practitioners and academics everywhere, outlining the latest best practices and providing both quantitative and qualitative insights. It will prove a must-have reference for the field.) (https://link.springer.com/book/10.1057/978-1-137-52407-2)

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Holdings
Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Book	Indian Institute of Management LRC General Stacks	Finance & Accounting	332.7 KOU (Browse shelf(Opens below))	1	Available		007932

Table of contents:
Front Matter
Pages i-xvii
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Chapter 1: Introduction
Panayiota Koulafetis
Pages 1-20
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Chapter 2: Quantitative Credit Risk Analysis and Management
Panayiota Koulafetis
Pages 21-61
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Chapter 3: Credit Ratings: Credit Rating Agencies, Rating Process and Surveillance
Panayiota Koulafetis
Pages 63-95
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Chapter 4: Credit Risk Assessment of Sovereigns, Banks and Corporates
Panayiota Koulafetis
Pages 97-136
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Chapter 5: Credit Risk Assessment of Structured Finance Securities
Panayiota Koulafetis
Pages 137-164
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Chapter 6: Qualitative Credit Risk Analysis and Management
Panayiota Koulafetis
Pages 165-186
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Chapter 7: Credit Risk Transfer and Mitigation
Panayiota Koulafetis
Pages 187-206
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Chapter 8: Regulation
Panayiota Koulafetis
Pages 207-215
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Back Matter
Pages 217-234
(https://link.springer.com/book/10.1057/978-1-137-52407-2)

This book is a practical guide to the latest risk management tools and techniques applied in the market to assess and manage credit risks at bank, sovereign, corporate and structured finance level. It strongly advocates the importance of sound credit risk management and how this can be achieved with prudent origination, credit risk policies, approval process, setting of meaningful limits and underwriting criteria.

The book discusses the various quantitative techniques used to assess and manage credit risk, including methods to estimate default probabilities, credit value at risk approaches and credit exposure analysis. Basel I, II and III are covered, as are the true meaning of credit ratings, how these are assigned, their limitations, the drivers of downgrades and upgrades, and how credit ratings should be used in practise is explained.

Modern Credit Risk Management not only discusses credit risk from a quantitative angle but further explains how important the qualitative and legal assessment is. Credit risk transfer and mitigation techniques and tools are explained, as are netting, ISDA master agreements, centralised counterparty clearing, margin collateral, overcollateralization, covenants and events of default. Credit derivatives are also explained, as are Total Return Swaps (TRS), Credit Linked Notes (CLN) and Credit Default Swaps (CDS). Furthermore, the author discusses what we have learned from the financial crisis of 2007 and sovereign crisis of 2010 and how credit risk management has evolved. Finally the book examines the new regulatory environment, looking beyond Basel to the European Union (EU) Capital Requirements Regulation and Directive (CRR-CRD) IV, the Dodd–Frank Wall Street Reform and Consumer Protection Act.

This book is a fully up to date resource for credit risk practitioners and academics everywhere, outlining the latest best practices and providing both quantitative and qualitative insights. It will prove a must-have reference for the field.

(This book is a practical guide to the latest risk management tools and techniques applied in the market to assess and manage credit risks at bank, sovereign, corporate and structured finance level. It strongly advocates the importance of sound credit risk management and how this can be achieved with prudent origination, credit risk policies, approval process, setting of meaningful limits and underwriting criteria.

The book discusses the various quantitative techniques used to assess and manage credit risk, including methods to estimate default probabilities, credit value at risk approaches and credit exposure analysis. Basel I, II and III are covered, as are the true meaning of credit ratings, how these are assigned, their limitations, the drivers of downgrades and upgrades, and how credit ratings should be used in practise is explained.

Modern Credit Risk Management not only discusses credit risk from a quantitative angle but further explains how important the qualitative and legal assessment is. Credit risk transfer and mitigation techniques and tools are explained, as are netting, ISDA master agreements, centralised counterparty clearing, margin collateral, overcollateralization, covenants and events of default. Credit derivatives are also explained, as are Total Return Swaps (TRS), Credit Linked Notes (CLN) and Credit Default Swaps (CDS). Furthermore, the author discusses what we have learned from the financial crisis of 2007 and sovereign crisis of 2010 and how credit risk management has evolved. Finally the book examines the new regulatory environment, looking beyond Basel to the European Union (EU) Capital Requirements Regulation and Directive (CRR-CRD) IV, the Dodd–Frank Wall Street Reform and Consumer Protection Act.

(This book is a fully up to date resource for credit risk practitioners and academics everywhere, outlining the latest best practices and providing both quantitative and qualitative insights. It will prove a must-have reference for the field.)

(https://link.springer.com/book/10.1057/978-1-137-52407-2)

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