The handbook of credit portfolio management
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The handbook of credit portfolio management
McGraw-Hill, c2009
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"McGraw-Hill finance & investing"--Bookjacket
Includes bibliographical references and index
内容説明・目次
内容説明
As the credit bubble fallout plagues the institutional finance sector--and will continue to do so in coming years--a strategic approach to credit portfolio management has never been more critical. The Handbook of Credit Portfolio Management provides all the information you'll need to successfully rebalance and manage your credit portfolios.
Together with co-author Christian Hoppe and a team of thirty-five international contributors, Greg N. Gregoriou provides strategies for calculating risk-weighted assets, reevaluating hedging strategies, and implementing Basel II standards. Providing a thoroughly global perspective of the subject, this comprehensive guide includes input from Moorad Choudhry (Group Head of Treasury at Europe Arab Bank plc, London); Christophe Godlewski (Universite Louis Pasteur in Strasbourg, France); Roland Fuss (University of Freiburg, Germany); and Valerio Poti (Trinity College in Dublin, Ireland), who shed light on such key topics as:
Investment opportunities of hedge fundsBasis arbitrage trading strategiesIssues regarding securitization of a sector basket Cost-saving aspects of portfolio hedging with credit futures
The Handbook of Credit Portfolio Management covers the latest developments and most current portfolio management techniques to help you implement strategies that best suit your institution's needs.
目次
Section 1: Performance Measurement
1 Implementing Credit Portfolio Management
2 Credit Portfolio Management under IFRS Accounting
3 Basel II Framework and the Impact of a New Regulatory Universe on Credit Asset Management
4 Basel II Expected Loss in Credit Risk Management
5 Credit Risk Capital Allocation and Performance Measurement
Section Two: Evaluation of Credit Risk
6 Characteristics of Credit Assets and relevance for Credit Portfolio Management
7 Measuring Credit Risk with Emphasis on CDOs
8 Model for the Rating Transitions in a SME Bank Loan Portfolio
9 Cost-to-Securitize as a Transfer Pricing Instrument
10 Mark-to-Market Pricing of Illiquid Loans
Section Three: Managing Credit Exposure
11 A New Age of Liquidity for Bank Debt: Reshaping Loan Portfolio Management
12 Bank Loan Syndication
13 CDS and other Credit Derivatives - Valuation and Application
14 Evaluation of Basket Credit Derivatives and STCDO Swaps
15 Classification and Characterization of CDS-Indices
16 Converting Derivatives Credit Risk Into Market RiskSection Four: Credit Portfolio Transactions
17 The Strategies of Hedge Funds in Fixed Income Markets
18 Trading CDS: Illustrating Positive and Negative Basis Arbitrage
19 Securitisation of Shipping Loans
20 Legal Issues in Securitizing Risky Loans
21 "How cheap is zero cost protection"
22 Managing Country Risk
23 The Role of Credit Banks in Corporate Workout-Management
Index
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