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| THE BANKER'S HANDBOOK ON CREDIT RISK
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Implementing Basel II
To order this title, and for more information, click here
By
Morton Glantz, After an accomplished career in banking specializing in credit analysis and credit risk management, Professor Glantz is on the adjunct
faculty at the Fordham Graduate School of Business, NY, and teaches professional-level seminars on credit risk management worldwide.
Johnathan Mun, Founder and CEO of Real Options Valuation, Inc., a consulting, training, and software development firm specializing in Basel II analytics and modeling
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
Contents
Contents
Chapter 1 Basel II and Principles for the Management of Credit Risk
Chapter 2 International Financial Reporting
Standards and Basel II
Chapter 3 Decomposing Cash Flow: A Bankers Primer
Chapter 4 Step-By-Step in Getting Started with the Modeling
Toolkit and Risk Simulator Software Applications
Chapter 5 Analytical Forecasting and Cash Flow Projections
Chapter 6 Using Risk Simulator
Optimization and Valuation Software to Evaluate the Credit Risk of Corporate Restructuring
Chapter 7 Analytical Techniques for Modeling
Probability of Default, Loss Given Default, Economic Capital, Value at Risk, Portfolio Optimization, Hurdle Rates and Required Rates
of Return
Chapter 8 Portfolio Optimization
Chapter 9 Loan Pricing and Pricing Model Construction
Chapter 10 Bankers Primer on Shareholder
Value
Chapter 11 A Bankers Guide: Valuation Appraisal of Business Clients
Chapter 12 Constructing Industry Specific Credit Rating Systems
Chapter 13 Building Integrated Exposure Systems
Chapter 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
Techniques
Chapter 16 Exotic Options and Credit Derivatives
Appendix 1 Getting Started with Real Options SLS Software Application on
Modeling Customizable Exotic and Real Options
Appendix 2 Measuring Default Probability: A Practical Approach
| Bibliographic details |
Hardbound, 432 pages, publication date: APR-2008
ISBN-13: 978-0-12-373666-6
ISBN-10: 0-12-373666-8
Imprint: ACADEMIC PRESS
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| Price and Ordering |
Price:
USD 79.95
EUR 56.95
GBP 47.99
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Books and book related electronic products are priced in US dollars (USD), euro (EUR), and Great Britain Pounds (GBP). USD prices apply to the Americas and Asia Pacific. EUR prices apply in Europe and the Middle East. GBP prices apply to the UK and all other countries.
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Last update: 5 Sep 2009
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