Credit Portfolio Management PDF Download
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Author | : Charles Smithson |
Publisher | : John Wiley & Sons |
Total Pages | : 354 |
Release | : 2003-04-07 |
Genre | : Business & Economics |
ISBN | : 0471465429 |
Download Credit Portfolio Management Book in PDF, ePub and Kindle
A cutting-edge text on credit portfolio management Credit risk. A number of market factors are causing revolutionary changes in the way it is measured and managed at financial institutions. Charles Smithson, author of the bestselling Managing Financial Risk, introduces a portfolio management approach to credit in his latest book. Understanding how to manage the inherent risks of this market has become increasingly important over the years. Credit Portfolio Management provides readers with a complete understanding of the alternative approaches to credit risk measurement and portfolio management. This definitive guide discusses the pricing and managing of credit risks associated with a variety of off-balance-sheet products such as credit default swaps, total return swaps, first-to-default baskets, and credit spread options; as well as on-balance-sheet customized structured products such as credit-linked notes, repackage notes, and synthetic collateralized debt obligations (CDOs). Filled with expert insight and advice, this book is a must-read for all credit professionals. Charles W. Smithson, PhD (New York, NY), is the Managing Partner of Rutter Associates and Executive Director of the International Association of Credit Portfolio Managers (IACPM). He is the author of five books, including The Handbook of Financial Engineering and Managing Financial Risk (now in its Third Edition).
Author | : Jeffrey R. Bohn |
Publisher | : John Wiley & Sons |
Total Pages | : 645 |
Release | : 2009-04-06 |
Genre | : Business & Economics |
ISBN | : 0470080183 |
Download Active Credit Portfolio Management in Practice Book in PDF, ePub and Kindle
State-of-the-art techniques and tools needed to facilitate effective credit portfolio management and robust quantitative credit analysis Filled with in-depth insights and expert advice, Active Credit Portfolio Management in Practice serves as a comprehensive introduction to both the theory and real-world practice of credit portfolio management. The authors have written a text that is technical enough both in terms of background and implementation to cover what practitioners and researchers need for actually applying these types of risk management tools in large organizations but which at the same time, avoids technical proofs in favor of real applications. Throughout this book, readers will be introduced to the theoretical foundations of this discipline, and learn about structural, reduced-form, and econometric models successfully used in the market today. The book is full of hands-on examples and anecdotes. Theory is illustrated with practical application. The authors' Website provides additional software tools in the form of Excel spreadsheets, Matlab code and S-Plus code. Each section of the book concludes with review questions designed to spark further discussion and reflection on the concepts presented.
Author | : Arik Ben Dor |
Publisher | : John Wiley & Sons |
Total Pages | : 421 |
Release | : 2011-11-08 |
Genre | : Business & Economics |
ISBN | : 1118167422 |
Download Quantitative Credit Portfolio Management Book in PDF, ePub and Kindle
An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's credit managers and risk analysts. A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the credit crisis of 2008-2009. Divided into two comprehensive parts, Quantitative Credit Portfolio Management offers essential insights into understanding the risks of corporate bonds—spread, liquidity, and Treasury yield curve risk—as well as managing corporate bond portfolios. Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade? Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events.
Author | : Jochen Felsenheimer |
Publisher | : John Wiley & Sons |
Total Pages | : 581 |
Release | : 2006-03-10 |
Genre | : Business & Economics |
ISBN | : 3527501983 |
Download Active Credit Portfolio Management Book in PDF, ePub and Kindle
The introduction of the euro in 1999 marked the starting point of the development of a very liquid and heterogeneous EUR credit market, which exceeds EUR 350bn with respect to outstanding corporate bonds. As a result, credit risk trading and credit portfolio management gained significantly in importance. The book shows how to optimize, manage, and hedge liquid credit portfolios, i.e. applying innovative derivative instruments. Against the background of the highly complex structure of credit derivatives, the book points out how to implement portfolio optimization concepts using credit-relevant parameters, and basic Markowitz or more sophisticated modified approaches (e.g., Conditional Value at Risk, Omega optimization) to fulfill the special needs of an active credit portfolio management on a single-name and on a portfolio basis (taking default correlation within a credit risk model framework into account). This includes appropriate strategies to analyze the impact from credit-relevant newsflow (macro- and micro-fundamental news, rating actions, etc.). As credits resemble equity-linked instruments, we also highlight how to implement debt-equity strategies, which are based on a modified Merton approach. The book is obligatory for credit portfolio managers of funds and insurance companies, as well as bank-book managers, credit traders in investment banks, cross-asset players in hedge funds, and risk controllers.
Author | : Michael Hünseler |
Publisher | : Springer |
Total Pages | : 281 |
Release | : 2013-07-30 |
Genre | : Business & Economics |
ISBN | : 0230391508 |
Download Credit Portfolio Management Book in PDF, ePub and Kindle
Credit Portfolio Management is a topical text on approaches to the active management of credit risks. The book is a valuable, up to date guide for portfolio management practitioners. Its content comprises of three main parts: The framework for managing credit risks, Active Credit Portfolio Management in practice and Hedging techniques and toolkits.
Author | : Greg N. Gregoriou |
Publisher | : McGraw Hill Professional |
Total Pages | : 506 |
Release | : 2008-10-19 |
Genre | : Business & Economics |
ISBN | : 007164296X |
Download The Handbook of Credit Portfolio Management Book in PDF, ePub and Kindle
Features expertise from an international team of 35 contributors, including Moorad Choudhry, Panikos Teklos, and Tamar Frankel Provides much-needed, timely information for institutional investors and professional portfolio, asset, and hedge fund managers as the fallout from the credit bubble continues to plague the institutional finance sector Includes important discussion of new risk management techniques and standards, including Basel II
Author | : Arindam Bandyopadhyay |
Publisher | : Cambridge University Press |
Total Pages | : 390 |
Release | : 2016-05-09 |
Genre | : Business & Economics |
ISBN | : 110714647X |
Download Managing Portfolio Credit Risk in Banks: An Indian Perspective Book in PDF, ePub and Kindle
This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.
Author | : Sylvain Bouteille |
Publisher | : John Wiley & Sons |
Total Pages | : 44 |
Release | : 2012-12-17 |
Genre | : Business & Economics |
ISBN | : 1118300203 |
Download The Handbook of Credit Risk Management Book in PDF, ePub and Kindle
A comprehensive guide to credit risk management The Handbook of Credit Risk Management presents a comprehensive overview of the practice of credit risk management for a large institution. It is a guide for professionals and students wanting a deeper understanding of how to manage credit exposures. The Handbook provides a detailed roadmap for managing beyond the financial analysis of individual transactions and counterparties. Written in a straightforward and accessible style, the authors outline how to manage a portfolio of credit exposures--from origination and assessment of credit fundamentals to hedging and pricing. The Handbook is relevant for corporations, pension funds, endowments, asset managers, banks and insurance companies alike. Covers the four essential aspects of credit risk management: Origination, Credit Risk Assessment, Portfolio Management and Risk Transfer. Provides ample references to and examples of credit market services as a resource for those readers having credit risk responsibilities. Designed for busy professionals as well as finance, risk management and MBA students. As financial transactions grow more complex, proactive management of credit portfolios is no longer optional for an institution, but a matter of survival.
Author | : Andrew Kimber |
Publisher | : Butterworth-Heinemann |
Total Pages | : 278 |
Release | : 2004 |
Genre | : Business & Economics |
ISBN | : 9780750656672 |
Download Credit Risk: From Transaction to Portfolio Management Book in PDF, ePub and Kindle
"This book is encountered within three major types of large-scale financial activity: commercial leading, fund management and investment banking trading activities. There businesses are increasingly founded upon quantitative approaches. This introductory text takes each of these activities in turn and describes the nature of the marketplace, how credit risk is measured and the quantitative tools employed to manage the exposure." -- BACK COVER.
Author | : Jeffrey R. Bohn |
Publisher | : John Wiley & Sons |
Total Pages | : 645 |
Release | : 2009-04-01 |
Genre | : Business & Economics |
ISBN | : 0470455128 |
Download Active Credit Portfolio Management in Practice Book in PDF, ePub and Kindle
State-of-the-art techniques and tools needed to facilitate effective credit portfolio management and robust quantitative credit analysis Filled with in-depth insights and expert advice, Active Credit Portfolio Management in Practice serves as a comprehensive introduction to both the theory and real-world practice of credit portfolio management. The authors have written a text that is technical enough both in terms of background and implementation to cover what practitioners and researchers need for actually applying these types of risk management tools in large organizations but which at the same time, avoids technical proofs in favor of real applications. Throughout this book, readers will be introduced to the theoretical foundations of this discipline, and learn about structural, reduced-form, and econometric models successfully used in the market today. The book is full of hands-on examples and anecdotes. Theory is illustrated with practical application. The authors' Website provides additional software tools in the form of Excel spreadsheets, Matlab code and S-Plus code. Each section of the book concludes with review questions designed to spark further discussion and reflection on the concepts presented.