The handbook of credit portfolio management:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
New York [u.a.]
McGraw-Hill
2009
|
| Subjects: | |
| Online Access: | Publisher description Inhaltsverzeichnis |
| Physical Description: | XXIX, 472 S. Ill., graph. Darst. |
| ISBN: | 9780071598347 0071598340 |
Staff View
MARC
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| 245 | 1 | 0 | |a The handbook of credit portfolio management |c Greg N. Gregoriou ... eds. |
| 264 | 1 | |a New York [u.a.] |b McGraw-Hill |c 2009 | |
| 300 | |a XXIX, 472 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Credit |x Management |v Handbooks, manuals, etc | |
| 650 | 4 | |a Risk management |v Handbooks, manuals, etc | |
| 650 | 4 | |a Portfolio management |v Handbooks, manuals, etc | |
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| 700 | 1 | |a Gregoriou, Greg N. |d 1956- |e Sonstige |0 (DE-588)132185016 |4 oth | |
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Record in the Search Index
| _version_ | 1804138055501611008 |
|---|---|
| adam_text | CONTENTS
FOREWORD
xiii
EDITORS xvii
CONTRIBUTORS
xix
PART ONE
PERFORMANCE MEASUREMENT
Chapter
1_____________________________
Implementing Credit Portfolio Management
3
Thomas
Ridder
Introduction
3
The Levers of Credit Portfolio Management
5
Organization of Credit Portfolio Management
9
Quantitative Methods in Credit Portfolio Management
14
Conclusion
17
References
18
Chapter
2_____________________________________________________
Credit Portfolio Management: Accounting Implications
21
Christian Burmester
Introduction
22
International Financial Reporting Standards
23
Conclusion
36
Acknowledgments
37
Chapter
3_____________________________________________________
The New Basel Capital Framework (Basel II) and Its Impact on
Investment Decisions: An Overview
39
Martin Knocinski
Introduction
40
Contents
The Basel
Accord s
General
Principles
40
Selected Amendments in Basel II
43
Regulatory Treatment of Shares in a Fund according to Basel II
56
Outstanding Issues
60
Relevant Developments within Other Fields and Conclusion
62
References
64
Chapter
4_______________________________________________________
Basel II Expected Loss as a Control Parameter
67
Bernd Appasamy
and
Uwe Dörr
Introduction
67
Discussion: Use of EL in Risk Management
68
Summary and Outlook
77
Chapter
5_______________________________________________________
Credit Risk Capital Allocation and Performance Measurement in
Banking Institutions
79
Valerio Poti
Introduction
79
Credit Risk Capital
82
Capital Allocation, Cost of Capital, and Performance Measurement
85
Credit Risk Capital Measurement
87
Final Remarks and Directions for Future Research
90
Acknowledgments
91
References
92
PART TWO
___________________________________________________
EVALUATION OF CREDIT RISK
Chapter
6_______________________________________________________
Characteristics of Credit Assets and Their Relevance for
Credit Asset Management
99
Stephan Bucher
and
Jochen von Frowein
Introduction
99
Credit Types
101
Contents
vii
Credit
Purpose 111
Conclusion
121
References
122
Chapter
7________________________________________________
Default Dependency Modeling: An Introduction to
Theory and Application
123
Sabine
Bank and
Mathias Schwarz
Introduction: Default Dependency
124
Modeling Default Dependencies
125
Measuring Credit Risk of CDOs
135
Conclusion
142
References
143
Chapter
8________________________________________________
A Credit Contagion Model for the Dynamics of the Rating
Transitions in a Small- and Medium-Sized Enterprises
Bank Loan Portfolio
145
Antonella Basso and Riccardo Gusso
Introduction
146
Counterparty Risk and Credit Contagion Models
147
Modeling Credit Contagion and Rating Transitions in a Portfolio of
Bank Loans
149
Simulation Analysis of Rating Transitions
152
Conclusion
160
References
160
Chapter
9________________________________________________
Copula-Based Credit Rating Model for Evaluating Basket
Credit Derivatives
163
Nicolas Papageorgiou, Bruno
Rémillard,
and
Jean-Luc Gardère
Introduction
163
Literature Review
164
The Proposed Model
167
Calibration of the Parameters
170
Estimation Results
173
Contents
Pricing Multiname
Credit
Derivatives 176
Conclusion
179
References
180
Chapter
10__________________________
Mark-to-Market Valuation of Illiquid Loans
181
Claas Becker
Introduction
181
Building Liquid Generic Curves
182
Building Illiquid Generic Curves
183
The Loan Pricing Algorithm
189
Back Testing
192
Summary
193
References
193
PART THREE
___________________________________________________________
MANAGING CREDIT EXPOSURE
Chapter
11______________________________________________________________
A Holistic Approach to Risk Management of Credit Portfolios
197
Christian Burmester
Introduction
197
Portfolio Management in the Context of a Bank s Management
198
Risk Management of Portfolios
199
Conclusion
208
References
208
Chapter
12______________________________________________________________
How a Revolution in the Loan Sale Process Transformed the
Secondary Market and Portfolio Management
209
J. Kingsley Greenland II and William F. Looney
Introduction
210
Evolution of the Secondary Whole Loan Market
211
Buyers: Smart, Savvy, and Global
211
Contents
Sellers: Originators of All Sizes Join In
212
How Buyers and Sellers Engage Online
214
Better Portfolio Diagnostics
218
Comparing the Two Approaches
220
Conclusion: It s a New Day for Portfolio Managers
222
Chapter
13__________________________________________________
What Drives the Arrangement Timetable of
Bank Loan Syndication?
223
Christophe
J. Godlewski
Introduction
224
Determinants of Loan Syndication Timetable Arrangement
226
Methodology and Data
234
Results and Discussion
238
Conclusion
241
References
242
Chapter
14__________________________________________________
Credit Default Swap and Other Credit Derivatives:
Valuation and Application
247
Ralph Karels
Introduction
247
Valuation of Credit Derivatives with Several Underlyings
254
Possible Application and Market Outlook
266
Conclusion
267
References
268
Chapter
15__________________________________________________
Loan-Only Credit Default Swaps
271
Moorad Choudhry
Introduction
272
Growth of LCDS
273
Characteristics of LCDS
274
Summary
275
Reference
276
Contents
Chapter
16________________________________________________________
Definition and Evaluation of Basket Credit Derivatives and
Single-Tranche Collateralized Debt Obligation Swaps
277
Marcus R. W. Martin, Stefan Reitz, and
Carsten
S. Wehn
Introduction
278
Credit Derivatives on Baskets of Reference Assets
278
Evaluation of Basket Default Swaps and CDOs
283
Quotation by a Single-Factor Model
288
Recent Developments and Models for Evaluating STCDO and
Basket Credit Derivatives
296
References
299
Chapter
17________________________________________________________
Contingent Credit Portfolio Management: Converting Derivatives
Credit Risk into Market
301
Kai Pohl
Introduction
302
Determining the Credit Valuation Adjustment
302
Application of the CVA
307
Contingent Credit Portfolio Management
317
PART FOUR
CREDIT PORTFOLIO TRANSACTIONS
Chapter
18________________________________________________________
Strategies of Hedge Funds and Robust Bayesian Portfolio Allocation
in Fixed-Income Markets
325
Roland Fiiss, Dieter G. Kaiser, and Michael Stein
Introduction
326
Fixed-Income Hedge Fund Strategies
327
A Robust Bayesian Portfolio Optimization Approach
333
Fixed-Income Portfolio Allocation Including Hedge Fund Strategies
338
Conclusion
343
References
345
Contents
Chapter
19_____________________________________________________
Characterization of the iTraxx Indexes and the Role of Credit
Index-Linked Constant Proportion Portfolio Insurances
349
Greg
N.
Gregoriou and Christian
Hoppe
Introduction
349
The iTraxx Index Family
351
Performance Measurement
356
Credit Index-Linked Constant Proportion Portfolio Insurance
361
Conclusion
365
References
366
Chapter
20_____________________________________________________
Trading the Credit Default Swap Basis: Illustrating Positive and
Negative Basis Arbitrage Trades
369
Moorad Choudhry
Introduction
370
Relative Value and Trading the Basis
370
Factors Influencing the Basis Package
372
Trade Examples
379
Summary
394
References
394
Chapter
21_____________________________________________________
Securitization of Shipping Loans
397
Christian
Kasten
and
Torsten Seil
Introduction
397
HSH Nordbank s Rationale for Securitizing Shipping Loans
398
Ocean Star Transaction Structure
398
Cash Flows
401
Loss Determination
402
Ocean Star Portfolio Risk Modeling and Rating Process
402
Investors
407
Conclusion
408
References
408
Contents
Chapter
22______________________________________________
How Cheap Is Zero Cost Protection?
409
Panayiotis Teklos, Michael Sandigursky, Michael Hampden-Turner,
and Matt King
Introduction
410
Contract Mechanics
410
Constructing a Replicating Strategy
411
Major Risks and Sensitivity Analysis
413
Who Might Use It?
419
Conclusion
420
Chapter
23______________________________________________
Managing Country Risk
423
Nandita Reisinger-Chowdhury
Introduction
423
Who Needs to Worry about Sovereign Risk?
424
Why Do We Need Country Risk Management?
424
Country Risk Assessment
426
Sovereign Ratings
437
Setting Country Limits
438
Country Risk Mitigation
439
Conclusion
440
References
441
Chapter
24_______________________________________________
Distressed Credit Assets of German Lending Banks
443
Thomas C.
Knecht
and Michael Blatz
Introduction
444
Conceptual Foundations of Workout Management
446
An Empirical Investigation of Workout Management
452
Conclusion
458
References
459
INDEX
461
|
| adam_txt |
CONTENTS
FOREWORD
xiii
EDITORS xvii
CONTRIBUTORS
xix
PART ONE
PERFORMANCE MEASUREMENT
Chapter
1_
Implementing Credit Portfolio Management
3
Thomas
Ridder
Introduction
3
The Levers of Credit Portfolio Management
5
Organization of Credit Portfolio Management
9
Quantitative Methods in Credit Portfolio Management
14
Conclusion
17
References
18
Chapter
2_
Credit Portfolio Management: Accounting Implications
21
Christian Burmester
Introduction
22
International Financial Reporting Standards
23
Conclusion
36
Acknowledgments
37
Chapter
3_
The New Basel Capital Framework (Basel II) and Its Impact on
Investment Decisions: An Overview
39
Martin Knocinski
Introduction
40
Contents
The Basel
Accord's
General
Principles
40
Selected Amendments in Basel II
43
Regulatory Treatment of Shares in a Fund according to Basel II
56
Outstanding Issues
60
Relevant Developments within Other Fields and Conclusion
62
References
64
Chapter
4_
Basel II Expected Loss as a Control Parameter
67
Bernd Appasamy
and
Uwe Dörr
Introduction
67
Discussion: Use of EL in Risk Management
68
Summary and Outlook
77
Chapter
5_
Credit Risk Capital Allocation and Performance Measurement in
Banking Institutions
79
Valerio Poti
Introduction
79
Credit Risk Capital
82
Capital Allocation, Cost of Capital, and Performance Measurement
85
Credit Risk Capital Measurement
87
Final Remarks and Directions for Future Research
90
Acknowledgments
91
References
92
PART TWO
_
EVALUATION OF CREDIT RISK
Chapter
6_
Characteristics of Credit Assets and Their Relevance for
Credit Asset Management
99
Stephan Bucher
and
Jochen von Frowein
Introduction
99
Credit Types
101
Contents
vii
Credit
Purpose 111
Conclusion
121
References
122
Chapter
7_
Default Dependency Modeling: An Introduction to
Theory and Application
123
Sabine
Bank and
Mathias Schwarz
Introduction: Default Dependency
124
Modeling Default Dependencies
125
Measuring Credit Risk of CDOs
135
Conclusion
142
References
143
Chapter
8_
A Credit Contagion Model for the Dynamics of the Rating
Transitions in a Small- and Medium-Sized Enterprises
Bank Loan Portfolio
145
Antonella Basso and Riccardo Gusso
Introduction
146
Counterparty Risk and Credit Contagion Models
147
Modeling Credit Contagion and Rating Transitions in a Portfolio of
Bank Loans
149
Simulation Analysis of Rating Transitions
152
Conclusion
160
References
160
Chapter
9_
Copula-Based Credit Rating Model for Evaluating Basket
Credit Derivatives
163
Nicolas Papageorgiou, Bruno
Rémillard,
and
Jean-Luc Gardère
Introduction
163
Literature Review
164
The Proposed Model
167
Calibration of the Parameters
170
Estimation Results
173
Contents
Pricing Multiname
Credit
Derivatives 176
Conclusion
179
References
180
Chapter
10_
Mark-to-Market Valuation of Illiquid Loans
181
Claas Becker
Introduction
181
Building Liquid Generic Curves
182
Building Illiquid Generic Curves
183
The Loan Pricing Algorithm
189
Back Testing
192
Summary
193
References
193
PART THREE
_
MANAGING CREDIT EXPOSURE
Chapter
11_
A Holistic Approach to Risk Management of Credit Portfolios
197
Christian Burmester
Introduction
197
Portfolio Management in the Context of a Bank's Management
198
Risk Management of Portfolios
199
Conclusion
208
References
208
Chapter
12_
How a Revolution in the Loan Sale Process Transformed the
Secondary Market and Portfolio Management
209
J. Kingsley Greenland II and William F. Looney
Introduction
210
Evolution of the Secondary Whole Loan Market
211
Buyers: Smart, Savvy, and Global
211
Contents
Sellers: Originators of All Sizes Join In
212
How Buyers and Sellers Engage Online
214
Better Portfolio Diagnostics
218
Comparing the Two Approaches
220
Conclusion: It's a New Day for Portfolio Managers
222
Chapter
13_
What Drives the Arrangement Timetable of
Bank Loan Syndication?
223
Christophe
J. Godlewski
Introduction
224
Determinants of Loan Syndication Timetable Arrangement
226
Methodology and Data
234
Results and Discussion
238
Conclusion
241
References
242
Chapter
14_
Credit Default Swap and Other Credit Derivatives:
Valuation and Application
247
Ralph Karels
Introduction
247
Valuation of Credit Derivatives with Several Underlyings
254
Possible Application and Market Outlook
266
Conclusion
267
References
268
Chapter
15_
Loan-Only Credit Default Swaps
271
Moorad Choudhry
Introduction
272
Growth of LCDS
273
Characteristics of LCDS
274
Summary
275
Reference
276
Contents
Chapter
16_
Definition and Evaluation of Basket Credit Derivatives and
Single-Tranche Collateralized Debt Obligation Swaps
277
Marcus R. W. Martin, Stefan Reitz, and
Carsten
S. Wehn
Introduction
278
Credit Derivatives on Baskets of Reference Assets
278
Evaluation of Basket Default Swaps and CDOs
283
Quotation by a Single-Factor Model
288
Recent Developments and Models for Evaluating STCDO and
Basket Credit Derivatives
296
References
299
Chapter
17_
Contingent Credit Portfolio Management: Converting Derivatives
Credit Risk into Market
301
Kai Pohl
Introduction
302
Determining the Credit Valuation Adjustment
302
Application of the CVA
307
Contingent Credit Portfolio Management
317
PART FOUR
CREDIT PORTFOLIO TRANSACTIONS
Chapter
18_
Strategies of Hedge Funds and Robust Bayesian Portfolio Allocation
in Fixed-Income Markets
325
Roland Fiiss, Dieter G. Kaiser, and Michael Stein
Introduction
326
Fixed-Income Hedge Fund Strategies
327
A Robust Bayesian Portfolio Optimization Approach
333
Fixed-Income Portfolio Allocation Including Hedge Fund Strategies
338
Conclusion
343
References
345
Contents
Chapter
19_
Characterization of the iTraxx Indexes and the Role of Credit
Index-Linked Constant Proportion Portfolio Insurances
349
Greg
N.
Gregoriou and Christian
Hoppe
Introduction
349
The iTraxx Index Family
351
Performance Measurement
356
Credit Index-Linked Constant Proportion Portfolio Insurance
361
Conclusion
365
References
366
Chapter
20_
Trading the Credit Default Swap Basis: Illustrating Positive and
Negative Basis Arbitrage Trades
369
Moorad Choudhry
Introduction
370
Relative Value and Trading the Basis
370
Factors Influencing the Basis Package
372
Trade Examples
379
Summary
394
References
394
Chapter
21_
Securitization of Shipping Loans
397
Christian
Kasten
and
Torsten Seil
Introduction
397
HSH Nordbank's Rationale for Securitizing Shipping Loans
398
Ocean Star Transaction Structure
398
Cash Flows
401
Loss Determination
402
Ocean Star Portfolio Risk Modeling and Rating Process
402
Investors
407
Conclusion
408
References
408
Contents
Chapter
22_
How Cheap Is "Zero" Cost Protection?
409
Panayiotis Teklos, Michael Sandigursky, Michael Hampden-Turner,
and Matt King
Introduction
410
Contract Mechanics
410
Constructing a Replicating Strategy
411
Major Risks and Sensitivity Analysis
413
Who Might Use It?
419
Conclusion
420
Chapter
23_
Managing Country Risk
423
Nandita Reisinger-Chowdhury
Introduction
423
Who Needs to Worry about Sovereign Risk?
424
Why Do We Need Country Risk Management?
424
Country Risk Assessment
426
Sovereign Ratings
437
Setting Country Limits
438
Country Risk Mitigation
439
Conclusion
440
References
441
Chapter
24_
Distressed Credit Assets of German Lending Banks
443
Thomas C.
Knecht
and Michael Blatz
Introduction
444
Conceptual Foundations of Workout Management
446
An Empirical Investigation of Workout Management
452
Conclusion
458
References
459
INDEX
461 |
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| dewey-ones | 332 - Financial economics |
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| discipline | Wirtschaftswissenschaften |
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| format | Book |
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| id | DE-604.BV035096005 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:12:17Z |
| indexdate | 2024-07-09T21:22:06Z |
| institution | BVB |
| isbn | 9780071598347 0071598340 |
| language | English |
| lccn | 2008018182 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016764058 |
| oclc_num | 227000174 |
| open_access_boolean | |
| owner | DE-703 DE-945 DE-473 DE-BY-UBG DE-355 DE-BY-UBR DE-384 |
| owner_facet | DE-703 DE-945 DE-473 DE-BY-UBG DE-355 DE-BY-UBR DE-384 |
| physical | XXIX, 472 S. Ill., graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | McGraw-Hill |
| record_format | marc |
| spelling | The handbook of credit portfolio management Greg N. Gregoriou ... eds. New York [u.a.] McGraw-Hill 2009 XXIX, 472 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Credit Management Handbooks, manuals, etc Risk management Handbooks, manuals, etc Portfolio management Handbooks, manuals, etc Kreditmanagement (DE-588)4138463-5 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 s Kreditmanagement (DE-588)4138463-5 s b DE-604 Gregoriou, Greg N. 1956- Sonstige (DE-588)132185016 oth http://www.loc.gov/catdir/enhancements/fy0834/2008018182-d.html Publisher description Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016764058&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | The handbook of credit portfolio management Credit Management Handbooks, manuals, etc Risk management Handbooks, manuals, etc Portfolio management Handbooks, manuals, etc Kreditmanagement (DE-588)4138463-5 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4138463-5 (DE-588)4114309-7 |
| title | The handbook of credit portfolio management |
| title_auth | The handbook of credit portfolio management |
| title_exact_search | The handbook of credit portfolio management |
| title_exact_search_txtP | The handbook of credit portfolio management |
| title_full | The handbook of credit portfolio management Greg N. Gregoriou ... eds. |
| title_fullStr | The handbook of credit portfolio management Greg N. Gregoriou ... eds. |
| title_full_unstemmed | The handbook of credit portfolio management Greg N. Gregoriou ... eds. |
| title_short | The handbook of credit portfolio management |
| title_sort | the handbook of credit portfolio management |
| topic | Credit Management Handbooks, manuals, etc Risk management Handbooks, manuals, etc Portfolio management Handbooks, manuals, etc Kreditmanagement (DE-588)4138463-5 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Credit Management Handbooks, manuals, etc Risk management Handbooks, manuals, etc Portfolio management Handbooks, manuals, etc Kreditmanagement Kreditrisiko |
| url | http://www.loc.gov/catdir/enhancements/fy0834/2008018182-d.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016764058&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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