Credit risk management is in an evolutionary state.
This evolution affects players globally in complex ways, changing how businesses must operate and adapt their risk practices.
Cultural shifts toward quantitative methods that leverage large amounts of data have entered into an environment that has thus far relied upon relationships and subjectivity. Against a backdrop of further regulatory requirements and a dynamic political and economic environment, new Fintech entrants are disrupting and forcing incumbents to accept the strident reality and to evolve.
Credit Risk Measurement and Management: Disruption and Evolution, edited by Amnon Levy and Jing Zhang, provides a comprehensive treatment of the subject, explaining how credit portfolio management and credit markets have evolved and will evolve further in this new era. The book explains the new requirements, presents implementation solutions, and discusses the operational and business impacts.
With contributions from leading practitioners and regulatory experts, subjects covered include:
- An Exploration of the Evolution of Risk: Past, Present and Future
- Risk Trading, Risky Debt and Financial Stability
- Climate Change: Managing a New Financial Risk
- The Evolution of the CLO Market
- Innovation and Digitisation in Credit
- Machine Learning and Artificial Intelligence in Credit Risk Analytics
- Disruption of Credit Portfolio Management in Illiquid Credit Markets
An essential text for all those involved in credit portfolio management and risk management as well as regulators, auditors and academics among many others, this book will equip readers with the tools they need to understand and operate in the changing credit market.
Mark E. Almeida
Amnon Levy and Jing Zhang
PART I PERSPECTIVES OF PARTICIPANTS ON EVOLUTION AND DISRUPTION
1 An Exploration of the Evolution of Risk: Past, Present and Future
Nicholas C. Silitch
2 Risk Trading, Risky Debt and Financial Stability
3 Skating on Thinner Ice: A Macroeconomic Outlook at the End of the Credit Cycle
Stern School of Business, New York University
4 Climate Change: Managing a New Financial Risk
John T. Colas, Ilya Khaykin, Alban Pyanet
5 The Quest to Save Risk-Weighted Assets
Federal Reserve Board of Governors
6 The Evolution of the CLO Market since the Global Financial Crisis and a Valuation Approach for CLO Tranches
Kashyap Arora, Kimito Iwamoto
DFG Investment Advisers, Inc
PART II DIGITISATION IN BANKING AND CREDIT
7 Homo Ex Machina: Finance Rebooted
Leo Jacobo, Ilyssa Weinstein
8 Innovation and Digitisation in Credit: A Global Perspective
Alex LaPlante, Charlotte Watson
Global Risk Institute
9 The Lending Revolution: How Digital Credit Is Changing Banks from the Inside
Gerald Chappell, Holger Harreis, Andras Havas, Andrea Nuzzo,
Theo Pepanides, Kayvaun Rowshankish
McKinsey & Company
10 Digital Lending in Asia: Disruption and Continuity
Alpha JWC Ventures
PART III DISRUPTING AND NAVIGATING DISRUPTION WITH NEW TOOLS AND TECHNIQUES
11 Digitisation and Automation in Commercial Lending: Disruption without Distraction
12 Credit Risk Management in the Era of Big Data: From Measurement to Insight
Shanghai Pudong Development Bank
13 Artificial Intelligence and Machine Learning in Credit Risk Analytics: Present, Past and Future
Douglas Dwyer, Tony Hughes, Ashit Talukder
14 Integrated Loan Portfolio Modelling and Risk Management
15 The Role of Banks in Illiquid Credit Markets, and the Disruption and Evolution of Credit Portfolio Management
Amnon Levy, Pierre Xu
Dr. Amnon Levy is a Managing Director in the Research and Modeling Group of Moody’s Analytics. He Heads the Portfolio and Balance Sheet Research group that is responsible for research and quantitative services related to Moody’s Analytics’ portfolio, balance sheet, stress testing, and impairment solutions. The team designs solutions that bring together regulatory requirements, accounting standards and economic risks in credit valuation, and portfolio, capital and balance sheet management. The team is also exploring how to manage credit in the face of climate risk, and the use of artificial intelligence and machine learning in portfolio strategy design. Dr. Levy holds a B.A. in Economics from the University of California at Berkeley and a Ph.D. in Finance from the Kellogg Graduate School of Management, Northwestern University.
Prior to joining Moody’s Analytics (originally KMV), Dr. Levy was a visiting assistant professor at the Stern School of Business, New York University, and the Haas School of Business, University of California at Berkeley, and had worked at the Board of Governors of the Federal Reserve System. Dr. Levy’s research has been widely published in academic and practitioner journals including the Journal of Financial Economics, Journal of Monetary Economics, Journal of Banking and Finance, and Journal of Risk Model Validation. He has also contributed to a number of books, including chapters in CCAR and Beyond - Capital Assessment, Stress Testing and Applications, and The New Impairment Model Under IFRS 9 and CECL.
Dr. Jing Zhang is a Managing Director and the Global Head of Moody’s Analytics Research and Modeling Group. Rooted in the pioneering efforts of B&H and KMV, the group is responsible for the quantitative modeling behind the EDF and LGD models for both public and private firms, commercial real estate, and portfolio and balance sheet analytics for banks and insurance firms.
Jing joined the research team at the former KMV in 1998, eventually becoming a Director in the Research Group. In that role, besides managing day-to-day research operations, he made major contributions to a number of KMV quantitative models. Since then, Jing has held a number of additional senior roles at Moody’s KMV in Product Management and the Client Solutions Group, and he has many years of experience advising clients on risk management issues. Jing obtained his PhD from the Wharton School of the University of Pennsylvania and his MA from Tulane University. He was a lecturer for the Master of Financial Engineering program at the University of California, Berkeley from 2010 to 2012. His research papers have been published in both academic and industry journals, such as the Journal of Time Series, the Journal of Fixed Income, Journal of Credit Risk, and the Journal of Risk Model Validation. He is also the editor of Risk book CCAR and Beyond (2014).