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    Measuring and Managing Credit Risk

    ISBN-10: 0071417559
    ISBN-13: 9780071417556
    Author(s): Arnaud de Servigny, Olivier Renault
    Description: Today's most complete, up-to-date reference for controlling credit risk exposure of all types, in every environment Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding  More...
    List price: $70.00
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    List Price: $70.00
    Publisher: McGraw-Hill Companies, The
    Binding: Hardcover
    Pages: 388
    Size: 6.30" wide x 9.30" long x 1.50" tall
    Weight: 1.672
    Language: English

    Today's most complete, up-to-date reference for controlling credit risk exposure of all types, in every environment Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firm's credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with up-to-the-minute data and insights, this authoritative book examines every key aspect of credit risk, including: Determinants of credit risk and pricing/spread implications Quantitative models for moving beyond Altman's Z score to separate "good" borrowers from "bad" Key determinants of loss given default, and potential links between recovery rates and probabilities of default Measures of dependency including linear correlation, and the impact of correlation on portfolio losses A detailed review of five of today's most popular portfolio models-CreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, CreditRisk+, and Portfolio Manager How credit risk is reflected in the prices and yields of individual securities How derivatives and securitization instruments can be used to transfer and repackage credit risk Today's credit risk measurement and management tools and techniques provide organizations with dramatically improved strength and flexibility, not only in mitigating risk but also in improving overall financial performance. Measuring and Managing Credit Risk introduces and explores each of these tools, along with the rapidly evolving global credit environment, to provide bankers and other financial decision-makers with the know-how to avoid excessive credit risk where possible-and mitigate it when necessary.

    Foreword
    Introduction
    Acknowledgments
    Credit, financial markets, and microeconomics
    External and internal ratings
    Default risk : quantitative methodologies
    Loss given default
    Default dependencies
    Credit risk portfolio models
    Credit risk management and strategic capital allocation
    Yield spreads
    Structured products and credit derivatives
    Regulation
    Epilogue
    Notes
    References
    Index

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