Managing credit risk: Vol. 1 Analysing, rating and pricing the probability of default
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London
Euromoney Books
2000
|
| Edition: | 1. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XX, 229 S. graph. Darst. |
| ISBN: | 1855647613 |
Staff View
MARC
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| 245 | 1 | 0 | |a Managing credit risk |n Vol. 1 |p Analysing, rating and pricing the probability of default |c Dimitris Chorafas |
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Record in the Search Index
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| adam_text | Contents
ix Foreword
x Acknowledgements
xvii Preface
Part One Rating the counterparty risk
Chapter 1 1 Counterparty risk and credit volatility
1 Introduction
2 The globalisation of counterparty risk
5 Credit risks, market risk and real time risk management
10 Risk premium and the dynamic management of credit exposure
13 A changing world of counterparty risk
15 Product pricing and the management of counterparty risk
Chapter 2 19 The risk of default by counterparties
19 Introduction
20 Leveraging, default, gross and net economic loss
24 A sharp increase in corporate defaults and the effect of legal risk
27 Counterparty default risk and the value of collateral
29 How severe are defaults by sovereigns?
32 The earthquake when major debtors may be nearing default
Chapter 3 35 The contribution of rating agencies to the control of
credit risk
35 Introduction
36 Credit risk and the challenge of outsourcing its evaluation
39 Contribution of rating agencies to the understanding of
creditworthiness
42 The long term rating system by independent agencies
45 Short term rating and the concept of prime rate
47 Rating agencies as seen by bankers and sovereigns
Chapter 4 49 A transition matrix expressing the likelihood of default
49 Introduction
50 Factual and documented answers to creditworthiness questions
53 Transition matrices based on the information provided by the
credit score
56 Entropy, ergodicity, Markov chains and the use of transition
matrices 58 Uses of and exceptions to credit transition matrices HH
60 How long does it take for a company to disappear?
H Chapter 5 64 Expected, unexpected and extreme events in credit risk
64 Introduction
65 A review of credit practices, credit migration and leverage
66 Prudence in loans commitments and their classification
69 The broader implications of expected, unexpected and
catastrophic losses
71 Reconsidering the impact of position risk and default risk
73 Capital requirements, scoring systems and analytical tools
Chapter 6 76 Credit volatility, market volatility, and their impact on rating
76 Introduction
77 Volatility ratings for market risk
80 Volatility ratio and change in volatility direction for credit risk
83 The growing importance of credit volatility in pricing financial
assets
88 Bond defaults and credit risk volatility
89 Recovery rates and the case of a ratings withdrawal
Chapter 7 92 Criteria for rating sovereign risk and associated challenges
92 Introduction
93 A short list of country risk factors
96 Criteria applied with sovereigns rating
99 Country risk, politically motivated defaults and corruption
101 Why legal risks and transfer risks increase sovereign risk
103 When sovereign ratings and rating large institutions become
indivisible
Chapter 8 107 Criteria, methods and tools to ensure objective results in
credit rating
107 Introduction
108 Background and experience required of rating agency analysts
109 The importance of interviews and the Delphi method
112 A glimpse at fuzzy engineering
114 The role of internal controls in rating, and agency risk
116 The challenges of derivatives instruments and their evaluation
117 A case study of rating criteria used in the insurance industry
119 Criteria for rating municipals and sub nationals
Chapter 9 121 The use of models in credit rating
121 Introduction
122 Ratings agencies and their models the Standard and Poor s
approach
124 Credit risk grading, operating characteristics curves and degrees
of freedom
127 Tier two collateral and the assessment of creditworthiness by the
Bundesbank
129 Old method, new method and the able use of an expert system
134 The challenges of large data sets
Part Two The challenge of analysing, pricing and replacing
financial instruments
Chapter 10 139 Balance sheet, trading book and economic capital
139 Introduction
140 The balance sheet and the analysis of assets and liabilities
143 Trading book and the content of different portfolios
146 The banking book and non trading transactions
149 Entrepreneurial and economic capital
151 Capital at risk and earnings at risk
Chapter 11 154 Limits on the counterparty
154 Introduction
155 Credit limits, present value and net present value
158 Dynamic management of limits and risk premiums
161 Comparing fair value and different intrinsic value definitions
163 Intrinsic value based on discounted cash flows
166 Measurement of performance and impairment of assets
Chapter 12 169 Replacement value and the counterparty s willingness to
perform
169 Introduction
170 Counterparty risk, credit equivalent loans and replacement
value
173 Gross replacement value versus net replacement value
176 Notional value and replacement costs
179 A closer look at counterparty exposure
182 Reputational risk: willingness to perform versus ability to
perform
Chapter 13 185 Integrating credit risk into the pricing of financial assets
185 Introduction
186 The need to measure and manage credit risk
188 The price of financial assets and marginal risk
191 Single transaction management
193 Carrying the single transaction strategy into the portfolio s
contents
195 Methodology for current and potential credit and market risk
integration
Chapter 14 199 Default probabilities and their effect on the pricing of
loans
199 Introduction
200 Rethinking models, transition probability and financial
instruments
202 Bernoulli trials for default analysis
205 Rating, valuing and pricing securitised corporates
206 Pricing loans through arbitrage theory
208 Differences in risk taking and problems with pricing algorithms flfflB
Chapter 15 212 Sensitivity analysis and stress testing of different pricing
fBniH hypotheses
212 Introduction
213 Modernising the use of sensitivity analysis in finance
215 Uncertainty, normal distribution, curvature and gamma
sensitivity
217 The dependability of financial studies, TED and sensitivity
analysis
219 Capital requirements and sensitivity to different risks
221 Stress testing and the need for more sophisticated solutions
224 Practical examples using stress testing
227 The impact of time to maturity on market risk and credit risk
|
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| author | Chorafas, Dimitris N. 1926-2014 |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T19:23:56Z |
| institution | BVB |
| isbn | 1855647613 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010778913 |
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| physical | XX, 229 S. graph. Darst. |
| publishDate | 2000 |
| publishDateSearch | 2000 |
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| publisher | Euromoney Books |
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| spelling | Chorafas, Dimitris N. 1926-2014 Verfasser (DE-588)107941961 aut Managing credit risk Vol. 1 Analysing, rating and pricing the probability of default Dimitris Chorafas 1. ed. London Euromoney Books 2000 XX, 229 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Credit scoring swd Kreditkontrolle swd Kreditrisiko swd Rating swd (DE-604)BV017993216 1 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010778913&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Chorafas, Dimitris N. 1926-2014 Managing credit risk Credit scoring swd Kreditkontrolle swd Kreditrisiko swd Rating swd |
| title | Managing credit risk |
| title_auth | Managing credit risk |
| title_exact_search | Managing credit risk |
| title_full | Managing credit risk Vol. 1 Analysing, rating and pricing the probability of default Dimitris Chorafas |
| title_fullStr | Managing credit risk Vol. 1 Analysing, rating and pricing the probability of default Dimitris Chorafas |
| title_full_unstemmed | Managing credit risk Vol. 1 Analysing, rating and pricing the probability of default Dimitris Chorafas |
| title_short | Managing credit risk |
| title_sort | managing credit risk analysing rating and pricing the probability of default |
| topic | Credit scoring swd Kreditkontrolle swd Kreditrisiko swd Rating swd |
| topic_facet | Credit scoring Kreditkontrolle Kreditrisiko Rating |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010778913&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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