Managing Bank Risk An Introduction to Broad-Base Credit Engineering

ISBN-10: 0122857852

ISBN-13: 9780122857850

Edition: 2002

Authors: Morton Glantz

List price: $130.00
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Description:

Featuring new credit engineering tools, 'Managing Bank Risk' combines innovative analytic methods with traditional credit management processes. The book show readers ways to assimilate new tools, such as credit derivatives, cash flow computer modelling, distress prediction and workout.
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Book details

List price: $130.00
Copyright year: 2002
Publisher: Elsevier Science & Technology Books
Publication date: 12/4/2002
Binding: Hardcover
Pages: 600
Size: 6.00" wide x 9.25" long x 1.50" tall
Weight: 2.288
Language: English

Professor Morton Glantz serves as a financial consultant, educator, and adviser to a broad spectrum of professionals, including corporate financial executives, government ministers, privatization managers, investment and commercial bankers, public accounting firms, members of merger and acquisition teams, strategic planning executives, management consultants, attorneys, and representatives of foreign governments and international banks. Professor Morton Glantz is a principal of Real Consulting and Real Options Valuation, firms specializing in risk consulting, training, certification, and advanced analytical software in the areas of risk quantification, analysis, and management solutions. As a JP Morgan Chase (heritage bank) senior banker, Professor Glantz built a progressive career path specializing in credit analysis and credit risk management, risk grading systems, valuation models, and professional training. He was instrumental in the reorganization and development of the credit analysis module of the Bank's Management Training Program-Finance, which at the time was recognized as one of the foremost training programs in the banking industry. Professor Glantz is on the (adjunct) finance faculty of the Fordham Graduate School of Business. He has appeared in the Harvard University International Directory of Business and Management Scholars and Research, and has earned Fordham University Deans Award for Faculty Excellence on three occasions. He is a Board Member of the International Standards Board, International Institute of Professional Education and Research (IIPER). The IIPER is a global institute with partners and offices around the world, including the United States, Switzerland, Hong Kong, Mexico, Portugal, Singapore, Nigeria, and Malaysia. Professor Glantz is widely published in financial journals and has authored 8 books.

Foreword
Preface
New Approaches to Fundamental Analysis
Introduction to Bank Risk Management
The PRISM Credit Model: Lending Practices
PRISM Credit Model
The Basel Committee Consultative Paper and the PRISM Model
Loan Structure Structuring Loan Agreements
Abstract of the Basel Committee's Principles for the Management of Credit Risk
Accounting Standards, Flags, and Distortions
Accounting STandards: A Lender's Guide
Footnotes: An Astute Lender Can Be No Less an Astute Auditor
Basic Elements of Flags, Gimmicks, and Problems: A Few Words Can Be Worth a Thousand Pictures
Dubious Accounting: Enron Corporation 2001
Chapter Summary: The Tie between Bankers and Auditors
A Review of Elemental Financial Statements
Multivariate Ratio Analysis: A Banker's Guide
Introduction and Overview
Liquidity Ratios
Activity or Turnover Ratios
Profitability Ratios
Leverage Ratios
Growth Ratios
Valuation Ratios
Statistical Analysis of Ratios
Sources of Comparative Ratios
Credit Analysis of Seasonal Businesses: An Integrated Approach
Examples of Seasonal Businesses
The Successful Seasonal Cycle
Seasonal Lending Techniques
Preparing a Cash Budget
Example: Break-Even Shipments
Defensive Measures
Asset-Based Lending
Market Segments
Security Interest
Federal Reserve Audit Guidelines: Collateral
Loans Secured with Accounts Receivables
The Audit: Scope and Details
Loans Secured by Inventories
Loans Secured By Marketable Securities
Case Study: Collateralized Loans Gone Wrong: Home Federal Savings & Loan Association of San Diego, California: 1994
Home Federal Savings & Loan Analysis
Accounts Receivable Financing Examination Procedures Commercial: Bank Examination Manual, March 1994
Cash Flow Analysis: A Banker's Guide
Cash Versus Accrual-Based Income
Introduction to Analysis: SFAS 95 and IAS 7
Cash Flow Workshop
Final Points about Cash Flow Analysis
Analysis: Essar Steel Limited, Mumbai, India
Cash Flow Reconstruction
Projections and Risk Assessment
Forecasting Factors
Statistical Forecasting
Sensitivity Financial Forecasting
A Simulations Approach to Financial Forecasting
Stochastic Optimization
Use of Forward-Looking Tools in the Approval Process
Glossary of Forecasting Terms
Distribution Terms and Glossary
A Banker's Primer on Real Options Johnathan Mun, Ph.D.
Risk Management and Sustainable Growth
The Industry Life Cycle
The Sustainable Growth Model
Solving Sustainable Growth Problems
A New Strategy: The Solution
Curve Fitting
Financial Distress: Recognition and Diagnosis of Troubled Loans
Financial Distress Models
From Recognition and Diagnosis to Criticized Loans and Classification Status
From Classification Status to Workout
From Workout to the Courts
Developing a DIP Analysis: The Due Diligence Process of a Leading Commercial Finance Institution
U.S. Lender Liability Litigation Through 1992
Credit Administration
Establishing a Risk Management Area
Loan Policy
Credit Policies and Procedures: Formal and Written
FRB Loan Examination: Internal Loan Review
Identifying, Classifying, and Communicating Main Causes of Loan Problems
The Role and Responsibilities of Loan Officers
Credit Reviews and the Quality of Financial Analysis
Uniform Financial Institution's Rating System Commonly Refered to as the Camels Rating System
Formal Credit Policies
Capital Adequacy
A Historical Perspective: Traditional Asset Categories
Value Defined by Accounting, Economic, and Regulatory Factors
Breakdown of Tier Capital Components
The Second Pillar: Supervisory Review of Capital Adequacy
The Third Pillar: Market Discipline
Capital Ratios
An Example of a Bank's Capital Structure
Portfolio Maintenance: An Overview
The Case For Loan Portfolio Management
Monitoring Systematic Risk in the Portfolio: Macroeconomic and Industry Exposures
Hedging Down Risky Exposures
Credit Derivatives
An Introduction to the Statistics of Portfolio Management
Optimizing A Bank Portfolio Using Excel's Solver
Portfolio Management of Default Risk
The Model of Default Risk
Asset Market Value and Volatility
Measurement of Portfolio Diversification
Model of Default Correlation
Model of Value Correlation
The Likelihood of Large Losses
Valuation
Economic Capital and Fund Management
Risk Contribution and Optimal Diversification
Risk Contribution and Economic Capital
Commitments, Covenants, and Exposure
Subportfolio and Portfolio
Relationship and Customer Profitability
EDF Credit Measure
Measuring Default Probability: The Problem
Measuring Default Probability: A Practical Approach
A Closer Look at Calculating EDF Credit Measures
Calculating Long-Term EDF Credit Measures
Some Frequently Asked Questions about KMV's EDF Credit Measures
Testing the Default Measure's Performance
Credit Derivatives: New Instruments to Trade Credit Risk
Credit Events
Materiality Requirement
Market Growth
ISDA Documentation
Pricing Credit Derivatives and the Referenced Credit
Credit Derivatives: Basic Structures
Short Examples of Credit Derivatives Utilization
An Overview of Risk-Adjusted Return on Capital (RAROC) and CreditMetrics
Risk-Adjusted Return on Capital (RAROC)
CreditMetrics
Global Exposure Tracking Systems: Application and Design
Customer Responsibility (Coordination) Units
Family Responsibility (Coordination) Unit
GES and Loan Concentrations
Exposure Information Systems: Design
Data Architecture
Pricing Models: Design and Application
Pricing Errors
Default Rates and Loan Pricing
Loan Pricing Models
Stochastic Net Borrowed Funds Pricing Model
Loan Pricing and the Option Pricing Model
Case Study: Morton and Maryann Magazine Corp.
Risk Rating Models: Design and Application
Risk Rating Tutorial: ROBFEL _New4.xls
Obligor Grades
Facility Grades
Index
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