The Banker

The Banker's Handbook on Credit Risk

Implementing Basel II

The Banker's Handbook on Credit Risk shows you how to comply with Basel II regulations on credit risk step by step, building on the basics in credit risk up to advanced credit risk methodologies. This advanced credit/risk management book takes a "new tools" approach to Basel II implementation. The hands-on applications covered in this book are vast, including areas of Basel II banking risk requirements (credit risk, credit spreads, default risk, value at risk, market risk, and so forth) and financial analysis (exotic options and valuation), to risk analysis (stochastic forecasting, risk-based Monte Carlo simulation, portfolio optimization) and real options analysis (strategic options and decision analysis). This book is targeted at banking practitioners and financial analysts who require the algorithms, examples, models, and insights in solving more advanced and even esoteric problems. The book comes complete with a DVD filled with sample modeling videos, case studies, and software applications to help the reader get started immediately. The various trial software applications included allows the reader to quickly access the approximately 670 modeling functions, 250 analytical model templates, and powerful risk-based simulation software to help in the understanding and learning of the concepts covered in the book, and also to use the embedded functions and algorithms in their own models. In addition, the reader can get started quickly in running risk-based Monte Carlo simulations, run advanced forecasting methods, and perform optimization on a myriad of situations, as well as structure and solve customized real options and financial options problems.

Audience
bankers; bank regulators; risk managers, traders, consultants, academics

Hardbound, 432 Pages

Published: April 2008

Imprint: Academic Press

ISBN: 978-0-12-373666-6

Reviews

  • “The Banker’s Handbook on Credit Risk is an indispensable reference for bankers and others concerned with credit risk to understand how to fully and properly utilize models in the management of credit risk. The comprehensive combination of explanatory text and over 150 working models in the book and accompanying DVD make it a key reference book for bankers. Most importantly, use of this Handbook and its accompanying models will move us forward in achieving sorely needed improvement in the management and regulatory oversight of credit risk in the financial system.” George J. Vojta, Chairman and CEO, The Westchester Group, Champaign, Illinois, USA "What sets Dr. Johnathan Mun's work apart from other writers and practitioners of quantitative risk analysis, is its startling clarity and real practical application to both the real world of risk analysis, and the processes by which we must make decisions under uncertainty. At GECC, we use both Dr. Mun's Risk Simulator and his Real Options software. Every book he has ever written is lined up within easy reach on my office bookshelf. His latest book, written with Morton Glantz, a well-known scholar in International Banking and Risk Management, is another gem. Read The Banker's Handbook on Credit Risk to see what two of he most original thinkers in quantitative risk analysis in the world today have to say about credit risk." Brian Watt, CRM Chief Risk Officer, Chief Financial Officer, GECC - Certified in Risk Management "This is a hands-on book filled with practical applications that are academically sound, written by two practitioners who are also professors, bringing with them a wealth of experience on how to successfully put these theories into practice. The Banker's Handbook on Credit Risk will be an extremely valuable addition to any banker's knowledge base and analytical tool set." Richard Kish, Ph.D. - Professor of Finance and Chair Perella Department of Finance, Lehigh University, Bethlehem, PA, USA

Contents

  • ContentsChapter 1 Basel II and Principles for the Management of Credit RiskChapter 2 International Financial Reporting Standards and Basel IIChapter 3 Decomposing Cash Flow: A Bankers PrimerChapter 4 Step-By-Step in Getting Started with the Modeling Toolkit and Risk Simulator Software ApplicationsChapter 5 Analytical Forecasting and Cash Flow ProjectionsChapter 6 Using Risk Simulator Optimization and Valuation Software to Evaluate the Credit Risk of Corporate RestructuringChapter 7 Analytical Techniques for Modeling Probability of Default, Loss Given Default, Economic Capital, Value at Risk, Portfolio Optimization, Hurdle Rates and Required Rates of ReturnChapter 8 Portfolio OptimizationChapter 9 Loan Pricing and Pricing Model ConstructionChapter 10 Bankers Primer on Shareholder ValueChapter 11 A Bankers Guide: Valuation Appraisal of Business ClientsChapter 12 Constructing Industry Specific Credit Rating SystemsChapter 13 Building Integrated Exposure SystemsChapter 14 Credit Risk Rating and Debt Analysis (Credit Premium and Debt Options)Chapter 15 Interest Rate Risk, Foreign Exchange Risk, Volatility Estimation, Risk Hedging, Yield Curve Forecasting, and Advanced Forecasting TechniquesChapter 16 Exotic Options and Credit DerivativesAppendix 1 Getting Started with Real Options SLS Software Application on Modeling Customizable Exotic and Real OptionsAppendix 2 Measuring Default Probability: A Practical Approach

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