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Table Of Contents

The Revolution in Credit— Capital Is the Key
THE CREDIT FUNCTION IS CHANGING
CAPITAL IS THE KEY
REGULATORY CAPITAL
NOTE
The Credit Portfolio Management Process
MODERN PORTFOLIO THEORY
ELEMENTS OF THE CREDIT PORTFOLIO MODELING PROCESS
PROBABILITIES OF DEFAULT
RECOVERY AND UTILIZATION IN THE EVENT OF DEFAULT
CORRELATION OF DEFAULTS
NOTES
Credit Portfolio Models
STRUCTURAL MODELS
EXPLICIT FACTOR MODELS
ACTUARIAL MODELS
ANALYTICAL COMPARISON OF THE CREDIT PORTFOLIO MODELS
EMPIRICAL COMPARISON OF THE CREDIT PORTFOLIO MODELS
WHAT MODELS ARE FINANCIAL INSTITUTIONS USING?
DEFAULT CORRELATION
FACILITY VALUATION5
GENERATING THE PORTFOLIO VALUE DISTRIBUTION8
OUTPUTS
Tools to Manage a Portfolio of Credit Assets
Loan Sales and Trading1
PRIMARY SYNDICATION MARKET
SECONDARY LOAN MARKET
TAXONOMY OF CREDIT DERIVATIVES
THE CREDIT DERIVATIVES MARKET
USING CREDIT DERIVATIVES TO MANAGE A PORTFOLIO OF CREDIT ASSETS
PRICING CREDIT DERIVATIVES
Securitization
ELEMENTS OF A CDO
“TRADITIONAL” AND “SYNTHETIC” CDO STRUCTURES
APPLICATIONS OF CDOs
REGULATORY TREATMENT
Capital Attribution and Allocation
Capital Attribution and Allocation
MEASURING TOTAL ECONOMIC CAPITAL
ATTRIBUTING CAPITAL TO BUSINESS UNITS
ATTRIBUTING CAPITAL TO TRANSACTIONS
OPTIMIZING THE ALLOCATION OF CAPITAL
APPENDIX TO CHAPTER 8: Quantifying Operational Risk1
PROCESS APPROACHES
FACTOR APPROACHES
ACTUARIAL APPROACHES
BASIC STATISTICS
APPLICATIONS OF BASIC STATISTICS
IMPORTANT PROBABILITY DISTRIBUTIONS
References
Index
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John Wiley & Sons - Credit Portfolio Management

John Wiley & Sons - Credit Portfolio Management

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Published by: zilpass on Sep 10, 2013
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