- Written by professionals for professionals - authors are from two of the world's largest international investment banksIn-depth, focused informationHigh level, comprehensive analysis of the subject
Table of Contents
- Fixed Income Credit: The credit product; Government bonds and credit; Benchmarks for credit; Corporate bonds; Floating rate notes; Credit related instruments; Asset backed securities; International bonds; Commercial paper; High yield bonds; Credit risk; Risk management of fixed income portfolios; Credit Metrics; Credit Indices; Optimisers; KMV model; Rating agencies; The Loan Portfolio: What is loan portfolio management?; The loan market; Definitions; Relative value analysis; Term sheet of a loan; The syndication process; Pricing within a commercial bank; Loan ratings; Risk management; Approaches to management; Economic vs. regulatory capital; CaR; Loan case studies; Concentration management; Hedging techniques; Central themes; Credit Derivatives Introduction; Why use credit derivatives?; Definition of a credit event; Credit default swap; Total Return swap; Securitisation overview; Dynamic credit swaps; Credit options; Credit linked note; First to default; The default swap basis; Pricing; Source of pricing; Pricing Examples; Regulatory environment; Terminology; Securitisation: Asset backed securities; Mortgage backed securities; Auto and loan back securities; Collateral analysis; Analysis of securities; The importance of credit derivatives; CDOs; CDO asset types; Credit enhanncement; Detailed evaluation of asset backing and enhancement; Investor analysis; The Credit Risk of Interest Rate Products: Introduction; Exposures; FRN analysis; Swap; The Fundamentals of Credit: The standalone loan; Standard measures; A portfolio as a set of standalones; Introducing correlation; Other approaches to default; Copulas; Moody's diversity score; KMV's risk calculation.
- No. of pages: 272
- Language: English
- Copyright: © Butterworth-Heinemann 2003
- Published: November 17, 2003
- Imprint: Butterworth-Heinemann
- eBook ISBN: 9780080472416
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