Managing Credit Risk:The Next Great Financial Challenge

Abstract

Credit Risk: The Next Great Challenge of the Financial Markets. Credit Culture. Classic Industry Players--Banks, Finance Companies, Insurance Companies, Industrial Companies. Portfolio Managers--Investment Managers Unit Trusts, Mutual Funds, Pension Funds. Structural Hubs--Derivative Dealers, Clearinghouses, and Exchanges. Rating Agencies. Classic Credit Analysis. Asset--Based Lending. Introduction to Credit Risk Models. Credit Risk Models Based on Accounting Data and Market Values. Corporate Credit Risk Models Based on Stock Price. Consumer Finance Models. Credit Models for Small Business, Real Estate, and Financial Institutions. Model Testing and Implementation of Credit Risk Models. Default Rates, Losses, and Recoveries. Credit Risk Migration. Introduction to Portfolio Approaches. Credit Pricing, Risk--Adjusted Return, and Allocation of Capital. Applications of Portfolio Approaches. Credit Derivatives. Credit Risk of Derivatives. Country Risk Models. Structured Finance. A New World Driven by Analytics and Diversifying Agents. The Rediscovery of Culture as a Primary Management Tool. Appendix. Index.

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