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Managing Credit Risk. The Great Challenge for Global Financial Markets. 2nd Edition. Wiley Finance

  • ID: 2242536
  • Book
  • June 2008
  • Region: Global
  • 528 Pages
  • John Wiley and Sons Ltd
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Praise for Managing Credit Risk

"Against a backdrop of radical industry evolution, the authors of Managing Credit Risk provide a concise and practical overview of these dramatic markets and technical developments in a book that has become a standard reference in the field."
Thomas C. Wilson, Chief Insurance Risk Officer, ING Group

"Managing Credit Risk is an outstanding intellectual achievement. The authors have provided investors with a comprehensive view of the state of credit analysis as the implications of the financial engineering revolution become fully revealed."
Martin S. Fridson, CFA, Chief Executive Officer, FridsonVision LLC

"This book provides a comprehensive review of credit risk management that should be compulsory reading for not only those who are responsible for such risk, but also for financial analysts and investors. An important addition to a significant subject."
Brian Ranson, Managing Director, Moody′s Analytics

"This book straddles the vast landscape of the credit market, reflecting the major changes in the past decade, namely the commoditization of credit risk by sophisticated players, through the use of synthetic securities, securitization, and the application of advanced quantitative tools. I know of no other book on the subject with as comprehensive a coverage of this fast–growing field."
Sanjiv Das, Professor of Finance, Santa Clara University

"At just the right time, the authors of Managing Credit Risk give us an up–to–date and comprehensive look at the complex, internationally connected world of credit. The author illuminates the subject with depth and delivers it in a writing style that will stimulate rather than dull the brain for what could have been a very dry topic."
Barrett Burns, President and CEO, VantageScore Solutions LLC

"Managing Credit Risk lays out in clear terms the multiple innovations that we have seen in the credit markets including quantitative analysis of both consumer and corporate financing and portfolio management, securitization and structured financing, derivatives, and other tools. The authors, strongly and correctly, maintain that these innovations must be used by all originators and investors in credit assets in the context of a strong credit risk management culture."
Philip Sherman, financial services industry consultant

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About the Authors.


Chapter 1. Credit Risk: The Great Challenge For The Global Economy.

Chapter 2. Credit Culture.

Chapter 3. Classic Industry Players: Banks, Savings Institutions, Insurance: Companies, Finance Companies, and Special Purpose Entities.

Chapter 4. The Portfolio Managers: Investment Managers, Mutual Funds, Pension Funds, and Hedge Funds.

Chapter 5. Structural Hubs Clearinghouses, Derivative Product Companies, and Exchanges.

Chapter 6. The Rating Agencies.

Chapter 7. Classic Credit Analysis.

Chapter 8. Asset–Based Lending and Lease Finance.

Chapter 9. Introduction to Credit Risk Models.

Chapter 10. Credit Risk Models Based upon Accounting Data and Market Values.

Chapter 11. Corporate Credit Risk Models Based on Stock Price.

Chapter 12. Consumer Finance Models.

Chapter 13. Credit Models for Small Business, Real Estate, and Financial Institutions.

Chapter 14. Testing and Implementation of Credit Risk Models.

Chapter 15. About Corporate Default Rates.

Chapter 16. Default Recovery Rates and LGD in Credit Risk Modeling and Practice.

Chapter 17. Credit Risk Migration.

Chapter 18. Introduction to Portfolio Approaches.

Chapter 19. Economic Capital and Capital Allocation.

Chapter 20. Application of Portfolio Approaches.

Chapter 21. Credit Derivatives.

Chapter 22. Counterparty Risk.

Chapter 23. Country Risk Models.

Chapter 24. Structured Finance.

Chapter 25. New Markets, New Players, New Ways to Play.

Chapter 26. Market Chaos and a Reversion to the Mean: The Rediscovery of Culture as a Critical Risk Management Tool.




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John B. Caouette
Edward I. Altman
Paul Narayanan
Robert Nimmo
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