Active credit portfolio management in practice

著者

• Bohn, Jeffrey R.
• Stein, Roger M.

書誌事項

Active credit portfolio management in practice

Jeffrey R. Bohn, Roger M. Stein

（Wiley finance series）

John Wiley & Sons, c2009

• (cloth/website)

注記

Includes bibliographical references (p. 575-587) and index

内容説明・目次

内容説明

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.

目次

Foreword xi Preface xiii Acknowledgments xxvii CHAPTER 1 The Framework: Definitions and Concepts 1 What Is Credit? 2 Evolution of Credit Markets 7 Defining Risk 11 A Word about Regulation 13 What Are Credit Models Good For? 14 Active Credit Portfolio Management (ACPM) 16 Framework at 30,000 Feet 19 Building Blocks of Portfolio Risk 23 Using PDs in Practice 32 Value, Price, and Spread 34 Defining Default 38 Portfolio Performance Metrics 38 Data and Data Systems 42 Review Questions 43 CHAPTER 2 ACPM in Practice 45 Bank Valuation 50 Organizing Financial Institutions: Dividing into Two Business Lines 52 Emphasis on Credit Risk 57 Market Trends Supporting ACPM 59 Financial Instruments Used for Hedging and Managing Risk in a Credit Portfolio 60 Mark-to-Market and Transfer Pricing 63 Metrics for Managing a Credit Portfolio 68 Data and Models 72 Evaluating an ACPM Unit 75 Managing a Research Team 77 Conclusion 86 Review Questions 87 Exercises 87 CHAPTER 3 Structural Models 89 Structural Models in Context 91 A Basic Structural Model 95 Black-Scholes-Merton 100 Valuation 107 Modifying BSM 117 First Passage Time: Black-Cox 118 Practical Implementation: Vasicek-Kealhofer 124 Stochastic Interest Rates: Longstaff-Schwartz 145 Jump-Diffusion Models: Zhou 150 Endogenous Default Barrier (Taxes and Bankruptcy Costs): Leland-Toft 151 Corporate Transaction Analysis 156 Liquidity 159 Other Structural Approaches 161 Conclusion 171 Appendix 3A: Derivation of Black-Scholes-Merton Framework for Calculating Distance to Default (DD) 171 Appendix 3B: Derivation of Conversion of Physical Probability of Default (PD) to a Risk-Neutral Probability of Default (PDQ) 177 Review Questions 179 Exercises 179 CHAPTER 4 Econometric Models 183 Discrete-Choice Models 186 Early Discrete-Choice Models: Beaver (1966) and Altman (1968) 191 Hazard Rate (Duration) Models 196 Example of a Hazard-Rate Framework for Predicting Default: Shumway (2001) 204 Hazard Rates versus Discrete Choice 206 Practical Applications: Falkenstein et al. (2000) and Dwyer and Stein (2004) 207 Calibrating Econometric Models 215 Calibrating to PDs 216 Calibrating to Ratings 227 Interpreting the Relative Influence of Factors in Econometric Models 234 Data Issues 238 Taxonomy of Data Woes 241 Biased Samples Cannot Easily Be Fixed 244 Conclusion 249 Appendix 4A: Some Alternative Default Model Specifications 249 Review Questions 252 Exercises 252 CHAPTER 5 Loss Given Default 255 Road to Recovery: The Timeline of Default Resolution 258 Measures of LGD (Recovery) 260 The Relationship between Market Prices and Ultimate Recovery 265 Approaches to Modeling LGD: The LossCalc (2002, 2005) Approaches and Extensions 273 Conclusion 285 Review Questions 286 Exercises 286 CHAPTER 6 Reduced-Form Models 289 Reduced-Form Models in Context 291 Basic Intensity Models 296 A Brief Interlude to Discuss Valuation 310 Duffie, Singleton, Lando (DSL) Intensity Model 312 Credit Rating Transition Models 329 Default Probability Density Version of Intensity Models (Hull-White) 340 Generic Credit Curves 348 Conclusion 353 Appendix 6A: Kalman Filter 354 Appendix 6B: Sample Transition Matrices 357 Review Questions 358 Exercises 358 CHAPTER 7 PD Model Validation 361 The Basics: Parameter Robustness 367 Measures of Model Power 371 Measures of PD Levels and Calibration 379 Sample Size and Confidence Bounds 396 Assessing the Economic Value of More Powerful PD Models 418 Avoiding Overfitting: A Walk-Forward Approach to Model Testing 431 Conclusion 437 Appendix 7A: Type I and Type II Error: Converting CAP Plots into Contingency Tables 438 Appendix 7B: The Likelihood for the General Case of a Default Model 440 Appendix 7C: Tables of ROC and nmax 441 Appendix 7D: Proof of the Relationship between NPV Terms and ROC Terms 441 Appendix 7E: Derivation of Minimum Sample Size Required to Test for Default Rate Accuracy in Uncorrelated Case 446 Appendix 7F: Tables for Lower Bounds of and N on Probabilities of Default 447 Review Questions 452 Exercises 452 CHAPTER 8 Portfolio Models 455 A Structural Model of Default Risk 460 Measurement of Portfolio Diversification 460 Portfolio Risk Assuming No Credit Migration 461 Structural Models of Default Correlation 465 Credit Migration 470 A Model of Value Correlation 475 Probability of Large Losses 481 Valuation 484 Return Calculations 488 Risk Calculations 491 Portfolio Loss Distribution 498 Capital 514 Economic Capital and Portfolio Management 519 Improving Portfolio Performance 521 Performance Metrics 526 Reduced-Form Models and Portfolio Modeling 530 Correlation in Intensity Models 531 Copulas 534 Frailty 536 Integrating Market and Credit Risk 541 Counterparty Risk in Credit Default Swaps (CDS) and Credit Portfolios 544 Conclusion 546 Review Questions 547 Exercises 548 CHAPTER 9 Building a Better Bank: A Case Study 551 Description 552 Current Organization 554 Transforming the Capital Allocation Process 556 Portfolio Analysis 558 Active Credit Portfolio Management (ACPM) 562 Data, Systems, and Metrics 563 ACPM and Transforming the Bank 566 Appendix: Figures 569 Exercises 574 References 575 About the Authors 589 Index 591

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詳細情報

• NII書誌ID(NCID): BA89500131
• ISBN:
  • 9780470080184
• LCCN: 2008042838
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Hoboken, N.J.
• ページ数/冊数: xxix, 610 p.
• 大きさ: 24 cm
• 分類:
  • LCC : HG3751
  • DC22 : 332.7
• 件名:
  • LCSH : Credit -- Management
  • LCSH : Portfolio management
  • LCSH : Risk management
• 親書誌ID:
  • BA5197584X