By
Morton Glantz, Fordham Graduate School of Business, NY, NY
Johnathan Mun, Real Options Valuation, Inc.
Description
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
