- Broschiertes Buch
- Merkliste
- Auf die Merkliste
- Bewerten Bewerten
- Teilen
- Produkt teilen
- Produkterinnerung
- Produkterinnerung
The importance of managing credit and credit risks carefully and appropriately cannot be overestimated. The very success or failure of a bank and the banking industry in general may well depend on how credit risk is handled.
Banking professionals must be fully versed in the risks associated with credit operations and how to manage those risks. This up-to-date volume is an invaluable reference and study tool that delves deep into issues associated with credit risk management.
Credit Risk Management from the Hong Kong Institute of Bankers (HKIB)discusses the various ways through which…mehr
Andere Kunden interessierten sich auch für
- Hussein KureshiContracts and Deals in Islamic Finance49,99 €
- Imam WahyudiRisk Management for Islamic Banks72,99 €
- Greg N GregoriouOperational Risk Toward Basel III76,99 €
- Jennifer OpenshawThe Socially Savvy Advisor61,99 €
- Amr Mohamed El Tiby AhmedIslamic Finance and Economic Development88,99 €
- Constantin ZopounidisQuantitative Financial Risk Management102,99 €
- William M. IsaacSenseless Panic Revised P15,99 €
-
-
-
The importance of managing credit and credit risks carefully and appropriately cannot be overestimated. The very success or failure of a bank and the banking industry in general may well depend on how credit risk is handled.
Banking professionals must be fully versed in the risks associated with credit operations and how to manage those risks. This up-to-date volume is an invaluable reference and study tool that delves deep into issues associated with credit risk management.
Credit Risk Management from the Hong Kong Institute of Bankers (HKIB)discusses the various ways through which banks manage risks. Essential for candidates studying for the HKIB Associateship Examination, it can also help those who want to acquire a deeper understanding of how and why banks make decisions and set up processes that lower their risk.
Topics covered in this book include:
Active credit portfolio management
Risk management, pricing, and capital adequacy
Capital requirements for banks
Approaches to credit risk management
Structural models and probability of default
Techniques to determine loss given default
Derivatives and structured products
Banking professionals must be fully versed in the risks associated with credit operations and how to manage those risks. This up-to-date volume is an invaluable reference and study tool that delves deep into issues associated with credit risk management.
Credit Risk Management from the Hong Kong Institute of Bankers (HKIB)discusses the various ways through which banks manage risks. Essential for candidates studying for the HKIB Associateship Examination, it can also help those who want to acquire a deeper understanding of how and why banks make decisions and set up processes that lower their risk.
Topics covered in this book include:
Active credit portfolio management
Risk management, pricing, and capital adequacy
Capital requirements for banks
Approaches to credit risk management
Structural models and probability of default
Techniques to determine loss given default
Derivatives and structured products
Produktdetails
- Produktdetails
- Verlag: Wiley & Sons
- 1. Auflage
- Seitenzahl: 528
- Erscheinungstermin: 4. September 2012
- Englisch
- Abmessung: 254mm x 178mm x 25mm
- Gewicht: 600g
- ISBN-13: 9780470827499
- ISBN-10: 0470827491
- Artikelnr.: 33380692
- Verlag: Wiley & Sons
- 1. Auflage
- Seitenzahl: 528
- Erscheinungstermin: 4. September 2012
- Englisch
- Abmessung: 254mm x 178mm x 25mm
- Gewicht: 600g
- ISBN-13: 9780470827499
- ISBN-10: 0470827491
- Artikelnr.: 33380692
Industrial and Commercial Bank of China (Asia) Limited (ICBC (Asia)) is delighted to sponsor this resource book. ICBC (Asia), the flagship of the Hong Kong banking business of Industrial and Commercial Bank of China Limited (ICBC), currently the world's largest commercial bank by market capitalization, offers a wide range of financial services to corporate and individual customers. The Bank is renowned for its provision of cross-border financial services and RMB-related services.
Preface xi PART 1 THE CREDIT RISK FRAMEWORK 1 1 Definitions and Concepts 3
Learning Objectives 3 Introduction 4 What is Credit? 4 Evolution of Credit
Markets 7 What is Credit Risk? 10 Building Blocks of Portfolio Risk 14
Default 18 Portfolio Performance Metrics 19 Data and Data Systems 21 Risk
Control Framework and Governance 22 2 Active Credit Portfolio Management 27
Learning Objectives 27 Introduction 28 What is ACPM? 28 Mark-to-market
Approach 30 Metrics for ACPM 35 Data and Models 37 3 Capital Adequacy
Framework 43 Learning Objectives 43 Introduction 44 Capital Adequacy Under
Basel I 44 Basel II's Three Pillar Approach 49 Basel III (2010) 53 Capital
Adequacy in Hong Kong 54 Implementation Issues 55 PART 2 CAPITAL
REQUIREMENTS ON CREDIT RISK UNDER BASEL 59 4 Standardised Approach to
Credit Risk 61 Learning Objectives 61 Introduction 62 Standardised Approach
to Credit Risk 62 Individual Claims 63 Credit Risk Mitigation 74
Securitization Exposures 84 5 Internal Ratings-Based Approach 89 Learning
Objectives 89 Introduction 90 What is the IRB Approach? 90 Building Blocks
of the IRB Approaches 92 IRB and Selected Exposures 93 Internal Rating
System 106 Validation of IRB Models 114 PART 3 CREDIT RISK AND PORTFOLIO
MODELS 123 6 Structural Models 125 Learning Objectives 125 Introduction 126
Basic Structural Model 126 Black-Scholes-Merton 129 Valuation 133 Black-Cox
135 Vasicek-Kealhofer 140 Stochastic Interest Rates 144 Endogenous Default
Barrier 145 Corporate Transaction Analysis 146 Liquidity 147 Other
Structural Approaches 148 7 Econometric Models 159 Learning Objectives 159
Introduction 160 Discrete-choice Models 160 Hazard Rate (Duration) Models
168 Practical Applications 172 Calibrating Econometric Models 177
Calibrating to Ratings 187 Interpreting the Relative Infl uence of Factors
in Econometric Models 192 Data Issues 194 8 Loss Given Default 203 Learning
Objectives 203 Introduction 204 Timeline of Default Resolution 204 Measures
of LGD 206 Multifactor Approach to LGD 212 Regression Framework 217 9
Reduced-form Models 223 Learning Objectives 223 Introduction 224
Reduced-form Models in Context 225 Basic Intensity Models 228 DSL Framework
237 Credit Rating Transition Models 241 Default Probability Density Version
of Intensity Models 247 Generic Credit Curves 253 10 PD Model Validation
259 Learning Objectives 259 Introduction 260 Parameter Robustness 260
Measures of Model Power 263 Measures of PD Levels and Calibration 267
Sample Size and Confi dence Bounds 280 Assessing the Economic Value of More
Powerful PD Models 296 Designing Validation Tests 305 11 Portfolio Models
315 Learning Objectives 315 Introduction 316 Measuring Portfolio Diversifi
cation 316 Portfolio Risk Assuming No Credit Migration 317 Structural
Models of Default Correlation 319 Credit Migration 323 Model of Value
Correlation 325 Probability of Large Losses 329 Valuation 332 Return
Calculations 334 Risk Calculations 337 Portfolio Loss Distribution 343
Capital 355 Economic Capital and Portfolio Management 358 Improving
Portfolio Performance 361 Performance Metrics 364 Reduced-form Models and
Portfolio Modelling 368 Correlation in Intensity Models 369 Copulas 371
Integrating Market and Credit Risk 373 Counterparty Risk in CDS and Credit
Portfolios 374 Stress-testing 376 PART 4 CREDIT DERIVATIVES AND STRUCTURED
CREDIT PRODUCTS 383 12 Credit Derivatives 385 Learning Objectives 385
Introduction 386 What are Credit Derivatives? 386 Credit Default Swap 389
Total Return Swaps 393 Credit-linked Notes 398 Credit Spread Derivatives
399 Pricing Credit Derivatives 401 13 Structured Credit Products 415
Learning Objectives 415 Introduction 416 Securitisation 416 Asset Backed
Security 423 Collateralised Debt Obligation 424 Capital Charge Requirements
427 Derivatives and Structured Credit as Risk Management Tools 428 Summary
430 Key Terms 431 Study Guide 431 Further Reading 431 Index 433
Learning Objectives 3 Introduction 4 What is Credit? 4 Evolution of Credit
Markets 7 What is Credit Risk? 10 Building Blocks of Portfolio Risk 14
Default 18 Portfolio Performance Metrics 19 Data and Data Systems 21 Risk
Control Framework and Governance 22 2 Active Credit Portfolio Management 27
Learning Objectives 27 Introduction 28 What is ACPM? 28 Mark-to-market
Approach 30 Metrics for ACPM 35 Data and Models 37 3 Capital Adequacy
Framework 43 Learning Objectives 43 Introduction 44 Capital Adequacy Under
Basel I 44 Basel II's Three Pillar Approach 49 Basel III (2010) 53 Capital
Adequacy in Hong Kong 54 Implementation Issues 55 PART 2 CAPITAL
REQUIREMENTS ON CREDIT RISK UNDER BASEL 59 4 Standardised Approach to
Credit Risk 61 Learning Objectives 61 Introduction 62 Standardised Approach
to Credit Risk 62 Individual Claims 63 Credit Risk Mitigation 74
Securitization Exposures 84 5 Internal Ratings-Based Approach 89 Learning
Objectives 89 Introduction 90 What is the IRB Approach? 90 Building Blocks
of the IRB Approaches 92 IRB and Selected Exposures 93 Internal Rating
System 106 Validation of IRB Models 114 PART 3 CREDIT RISK AND PORTFOLIO
MODELS 123 6 Structural Models 125 Learning Objectives 125 Introduction 126
Basic Structural Model 126 Black-Scholes-Merton 129 Valuation 133 Black-Cox
135 Vasicek-Kealhofer 140 Stochastic Interest Rates 144 Endogenous Default
Barrier 145 Corporate Transaction Analysis 146 Liquidity 147 Other
Structural Approaches 148 7 Econometric Models 159 Learning Objectives 159
Introduction 160 Discrete-choice Models 160 Hazard Rate (Duration) Models
168 Practical Applications 172 Calibrating Econometric Models 177
Calibrating to Ratings 187 Interpreting the Relative Infl uence of Factors
in Econometric Models 192 Data Issues 194 8 Loss Given Default 203 Learning
Objectives 203 Introduction 204 Timeline of Default Resolution 204 Measures
of LGD 206 Multifactor Approach to LGD 212 Regression Framework 217 9
Reduced-form Models 223 Learning Objectives 223 Introduction 224
Reduced-form Models in Context 225 Basic Intensity Models 228 DSL Framework
237 Credit Rating Transition Models 241 Default Probability Density Version
of Intensity Models 247 Generic Credit Curves 253 10 PD Model Validation
259 Learning Objectives 259 Introduction 260 Parameter Robustness 260
Measures of Model Power 263 Measures of PD Levels and Calibration 267
Sample Size and Confi dence Bounds 280 Assessing the Economic Value of More
Powerful PD Models 296 Designing Validation Tests 305 11 Portfolio Models
315 Learning Objectives 315 Introduction 316 Measuring Portfolio Diversifi
cation 316 Portfolio Risk Assuming No Credit Migration 317 Structural
Models of Default Correlation 319 Credit Migration 323 Model of Value
Correlation 325 Probability of Large Losses 329 Valuation 332 Return
Calculations 334 Risk Calculations 337 Portfolio Loss Distribution 343
Capital 355 Economic Capital and Portfolio Management 358 Improving
Portfolio Performance 361 Performance Metrics 364 Reduced-form Models and
Portfolio Modelling 368 Correlation in Intensity Models 369 Copulas 371
Integrating Market and Credit Risk 373 Counterparty Risk in CDS and Credit
Portfolios 374 Stress-testing 376 PART 4 CREDIT DERIVATIVES AND STRUCTURED
CREDIT PRODUCTS 383 12 Credit Derivatives 385 Learning Objectives 385
Introduction 386 What are Credit Derivatives? 386 Credit Default Swap 389
Total Return Swaps 393 Credit-linked Notes 398 Credit Spread Derivatives
399 Pricing Credit Derivatives 401 13 Structured Credit Products 415
Learning Objectives 415 Introduction 416 Securitisation 416 Asset Backed
Security 423 Collateralised Debt Obligation 424 Capital Charge Requirements
427 Derivatives and Structured Credit as Risk Management Tools 428 Summary
430 Key Terms 431 Study Guide 431 Further Reading 431 Index 433
Preface xi PART 1 THE CREDIT RISK FRAMEWORK 1 1 Definitions and Concepts 3
Learning Objectives 3 Introduction 4 What is Credit? 4 Evolution of Credit
Markets 7 What is Credit Risk? 10 Building Blocks of Portfolio Risk 14
Default 18 Portfolio Performance Metrics 19 Data and Data Systems 21 Risk
Control Framework and Governance 22 2 Active Credit Portfolio Management 27
Learning Objectives 27 Introduction 28 What is ACPM? 28 Mark-to-market
Approach 30 Metrics for ACPM 35 Data and Models 37 3 Capital Adequacy
Framework 43 Learning Objectives 43 Introduction 44 Capital Adequacy Under
Basel I 44 Basel II's Three Pillar Approach 49 Basel III (2010) 53 Capital
Adequacy in Hong Kong 54 Implementation Issues 55 PART 2 CAPITAL
REQUIREMENTS ON CREDIT RISK UNDER BASEL 59 4 Standardised Approach to
Credit Risk 61 Learning Objectives 61 Introduction 62 Standardised Approach
to Credit Risk 62 Individual Claims 63 Credit Risk Mitigation 74
Securitization Exposures 84 5 Internal Ratings-Based Approach 89 Learning
Objectives 89 Introduction 90 What is the IRB Approach? 90 Building Blocks
of the IRB Approaches 92 IRB and Selected Exposures 93 Internal Rating
System 106 Validation of IRB Models 114 PART 3 CREDIT RISK AND PORTFOLIO
MODELS 123 6 Structural Models 125 Learning Objectives 125 Introduction 126
Basic Structural Model 126 Black-Scholes-Merton 129 Valuation 133 Black-Cox
135 Vasicek-Kealhofer 140 Stochastic Interest Rates 144 Endogenous Default
Barrier 145 Corporate Transaction Analysis 146 Liquidity 147 Other
Structural Approaches 148 7 Econometric Models 159 Learning Objectives 159
Introduction 160 Discrete-choice Models 160 Hazard Rate (Duration) Models
168 Practical Applications 172 Calibrating Econometric Models 177
Calibrating to Ratings 187 Interpreting the Relative Infl uence of Factors
in Econometric Models 192 Data Issues 194 8 Loss Given Default 203 Learning
Objectives 203 Introduction 204 Timeline of Default Resolution 204 Measures
of LGD 206 Multifactor Approach to LGD 212 Regression Framework 217 9
Reduced-form Models 223 Learning Objectives 223 Introduction 224
Reduced-form Models in Context 225 Basic Intensity Models 228 DSL Framework
237 Credit Rating Transition Models 241 Default Probability Density Version
of Intensity Models 247 Generic Credit Curves 253 10 PD Model Validation
259 Learning Objectives 259 Introduction 260 Parameter Robustness 260
Measures of Model Power 263 Measures of PD Levels and Calibration 267
Sample Size and Confi dence Bounds 280 Assessing the Economic Value of More
Powerful PD Models 296 Designing Validation Tests 305 11 Portfolio Models
315 Learning Objectives 315 Introduction 316 Measuring Portfolio Diversifi
cation 316 Portfolio Risk Assuming No Credit Migration 317 Structural
Models of Default Correlation 319 Credit Migration 323 Model of Value
Correlation 325 Probability of Large Losses 329 Valuation 332 Return
Calculations 334 Risk Calculations 337 Portfolio Loss Distribution 343
Capital 355 Economic Capital and Portfolio Management 358 Improving
Portfolio Performance 361 Performance Metrics 364 Reduced-form Models and
Portfolio Modelling 368 Correlation in Intensity Models 369 Copulas 371
Integrating Market and Credit Risk 373 Counterparty Risk in CDS and Credit
Portfolios 374 Stress-testing 376 PART 4 CREDIT DERIVATIVES AND STRUCTURED
CREDIT PRODUCTS 383 12 Credit Derivatives 385 Learning Objectives 385
Introduction 386 What are Credit Derivatives? 386 Credit Default Swap 389
Total Return Swaps 393 Credit-linked Notes 398 Credit Spread Derivatives
399 Pricing Credit Derivatives 401 13 Structured Credit Products 415
Learning Objectives 415 Introduction 416 Securitisation 416 Asset Backed
Security 423 Collateralised Debt Obligation 424 Capital Charge Requirements
427 Derivatives and Structured Credit as Risk Management Tools 428 Summary
430 Key Terms 431 Study Guide 431 Further Reading 431 Index 433
Learning Objectives 3 Introduction 4 What is Credit? 4 Evolution of Credit
Markets 7 What is Credit Risk? 10 Building Blocks of Portfolio Risk 14
Default 18 Portfolio Performance Metrics 19 Data and Data Systems 21 Risk
Control Framework and Governance 22 2 Active Credit Portfolio Management 27
Learning Objectives 27 Introduction 28 What is ACPM? 28 Mark-to-market
Approach 30 Metrics for ACPM 35 Data and Models 37 3 Capital Adequacy
Framework 43 Learning Objectives 43 Introduction 44 Capital Adequacy Under
Basel I 44 Basel II's Three Pillar Approach 49 Basel III (2010) 53 Capital
Adequacy in Hong Kong 54 Implementation Issues 55 PART 2 CAPITAL
REQUIREMENTS ON CREDIT RISK UNDER BASEL 59 4 Standardised Approach to
Credit Risk 61 Learning Objectives 61 Introduction 62 Standardised Approach
to Credit Risk 62 Individual Claims 63 Credit Risk Mitigation 74
Securitization Exposures 84 5 Internal Ratings-Based Approach 89 Learning
Objectives 89 Introduction 90 What is the IRB Approach? 90 Building Blocks
of the IRB Approaches 92 IRB and Selected Exposures 93 Internal Rating
System 106 Validation of IRB Models 114 PART 3 CREDIT RISK AND PORTFOLIO
MODELS 123 6 Structural Models 125 Learning Objectives 125 Introduction 126
Basic Structural Model 126 Black-Scholes-Merton 129 Valuation 133 Black-Cox
135 Vasicek-Kealhofer 140 Stochastic Interest Rates 144 Endogenous Default
Barrier 145 Corporate Transaction Analysis 146 Liquidity 147 Other
Structural Approaches 148 7 Econometric Models 159 Learning Objectives 159
Introduction 160 Discrete-choice Models 160 Hazard Rate (Duration) Models
168 Practical Applications 172 Calibrating Econometric Models 177
Calibrating to Ratings 187 Interpreting the Relative Infl uence of Factors
in Econometric Models 192 Data Issues 194 8 Loss Given Default 203 Learning
Objectives 203 Introduction 204 Timeline of Default Resolution 204 Measures
of LGD 206 Multifactor Approach to LGD 212 Regression Framework 217 9
Reduced-form Models 223 Learning Objectives 223 Introduction 224
Reduced-form Models in Context 225 Basic Intensity Models 228 DSL Framework
237 Credit Rating Transition Models 241 Default Probability Density Version
of Intensity Models 247 Generic Credit Curves 253 10 PD Model Validation
259 Learning Objectives 259 Introduction 260 Parameter Robustness 260
Measures of Model Power 263 Measures of PD Levels and Calibration 267
Sample Size and Confi dence Bounds 280 Assessing the Economic Value of More
Powerful PD Models 296 Designing Validation Tests 305 11 Portfolio Models
315 Learning Objectives 315 Introduction 316 Measuring Portfolio Diversifi
cation 316 Portfolio Risk Assuming No Credit Migration 317 Structural
Models of Default Correlation 319 Credit Migration 323 Model of Value
Correlation 325 Probability of Large Losses 329 Valuation 332 Return
Calculations 334 Risk Calculations 337 Portfolio Loss Distribution 343
Capital 355 Economic Capital and Portfolio Management 358 Improving
Portfolio Performance 361 Performance Metrics 364 Reduced-form Models and
Portfolio Modelling 368 Correlation in Intensity Models 369 Copulas 371
Integrating Market and Credit Risk 373 Counterparty Risk in CDS and Credit
Portfolios 374 Stress-testing 376 PART 4 CREDIT DERIVATIVES AND STRUCTURED
CREDIT PRODUCTS 383 12 Credit Derivatives 385 Learning Objectives 385
Introduction 386 What are Credit Derivatives? 386 Credit Default Swap 389
Total Return Swaps 393 Credit-linked Notes 398 Credit Spread Derivatives
399 Pricing Credit Derivatives 401 13 Structured Credit Products 415
Learning Objectives 415 Introduction 416 Securitisation 416 Asset Backed
Security 423 Collateralised Debt Obligation 424 Capital Charge Requirements
427 Derivatives and Structured Credit as Risk Management Tools 428 Summary
430 Key Terms 431 Study Guide 431 Further Reading 431 Index 433