Active credit portfolio management in practice:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, NJ
Wiley
2009
|
| Series: | Wiley finance series
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXIX, 610 S. graph. Darst. |
| ISBN: | 9780470080184 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Titel: Active credit portfolio management in practice
Autor: Bohn, Jeffrey R.
Jahr: 2009
Contents
Foreword xi
Preface xl
Acknowledgments xxvl
CHAPTHU
The Framework: DelHttons and Concepts 1
What Is Credit? 2
Evolution of Credit Markets 7
Defining Risk 11
A Word about Regulation 13
What Are Credit Models Good For? 14
Active Credit Portfolio Management (ACPM) 16
Framework at 30,000 Feet 19
Building Blocks of Portfolio Risk 23
Using PDs in Practice 32
Value, Price, and Spread 34
Defining Default 38
Portfolio Performance Metrics 38
Data and Data Systems 42
Review Questions 43
CHAPTK2
ACPM in Practice 45
Bank Valuation 50
Organizing Financial Institutions: Dividing into Two
Business Lines 52
Emphasis on Credit Risk 57
Market Trends Supporting ACPM 59
Financial Instruments Used for Hedging and Managing
Risk in a Credit Portfolio 60
W________________________________________________________________________CONTENTS
Mark-to-Market and Transfer Pricing 63
Metrics for Managing a Credit Portfolio 68
Data and Models 72
Evaluating an ACPM Unit 75
Managing a Research Team 77
Conclusion 86
Review Questions 87
Exercises 87
OMPTHI3
Structural Models 88
Structural Models in Context 91
A Basic Structural Model 95
Black-Scholes-Merton 100
Valuation 107
Modifying BSM 117
First Passage Time: Black-Cox 118
Practical Implementation: Vasicek-Kealhofer 124
Stochastic Interest Rates: Longstaff-Schwartz 145
Jump-Diffusion Models: Zhou 150
Endogenous Default Barrier (Taxes and Bankruptcy
Costs): Leland-Toft 151
Corporate Transaction Analysis 156
Liquidity 159
Other Structural Approaches 161
Conclusion 171
Appendix 3A: Derivation of Black-Scholes-Merton
Framework for Calculating Distance to Default (DD) 171
Appendix 3B: Derivation of Conversion of Physical
Probability of Default (PD) to a Risk-Neutral
Probability of Default (PDQ) 177
Review Questions 179
Exercises 179
CHAPTB14
Econometric Models 188
Discrete-Choice Models 186
Early Discrete-Choice Models: Beaver (1966) and
Altman (1968) 191
Hazard Rate (Duration) Models 196
Contents Vii
Example of a Hazard-Rate Framework for Predicting
Default: Shumway (2001) 204
Hazard Rates versus Discrete Choice 206
Practical Applications: Falkenstein et al. (2000) and
Dwyer and Stein (2004) 207
Calibrating Econometric Models 215
Calibrating to PDs 216
Calibrating to Ratings 227
Interpreting the Relative Influence of Factors in
Econometric Models 234
Data Issues 238
Taxonomy of Data Woes 241
Biased Samples Cannot Easily Be Fixed 244
Conclusion 249
Appendix 4A: Some Alternative Default Model Specifications 249
Review Questions 252
Exercises 252
CHAPTB15
Loss Given Default 255
Road to Recovery: The Timeline of Default Resolution 258
Measures of LGD (Recovery) 260
The Relationship between Market Prices
and Ultimate Recovery 265
Approaches to Modeling LGD: The LossCalc (2002,
2005) Approaches and Extensions 273
Conclusion 285
Review Questions 286
Exercises 286
CHAPTKB
Reduced-Form Models 289
Reduced-Form Models in Context 291
Basic Intensity Models 296
A Brief Interlude to Discuss Valuation 310
Duffle, Singleton, Lando (DSL) Intensity Model 312
Credit Rating Transition Models 329
Default Probability Density Version of Intensity
Models (Hull-White) 340
Generic Credit Curves 348
Vl _________________________________________________________CONTENTS
Conclusion 353
Appendix 6A: Kalman Filter 354
Appendix 6B: Sample Transition Matrices 357
Review Questions 358
Exercises 358
CHAPTER 7
POModel VaSdaOon 361
The Basics: Parameter Robustness 367
Measures of Model Power 371
Measures of PD Levels and Calibration 379
Sample Size and Confidence Bounds 396
Assessing the Economic Value of More Powerful PD Models 418
Avoiding Overfitting: A Walk-Forward Approach to
Model Testing 431
Conclusion 437
Appendix 7A: Type I and Type II Error: Converting
CAP Plots into Contingency Tables 438
Appendix 7B: The Likelihood for the General Case of a
Default Model 440
Appendix 7C: Tables of ROC £ and «„*,* 441
Appendix 7D: Proof of the Relationship between NPV
Terms and ROC Terms 441
Appendix 7E: Derivation of Minimum Sample Size
Required to Test for Default Rate Accuracy in
Uncorrelated Case 446
Appendix 7F: Tables for Lower Bounds of £ and N on
Probabilities of Default 447
Review Questions 452
Exercises 452
HMPTB18
PortfoioModete 455
A Structural Model of Default Risk 460
Measurement of Portfolio Diversification 460
Portfolio Risk Assuming No Credit Migration 461
Structural Models of Default Correlation 465
Credit Migration 470
A Model of Value Correlation 475
Probability of Large Losses 481
Valuation 484
Contents ix
Return Calculations 488
Risk Calculations 491
Portfolio Loss Distribution 498
Capital 514
Economic Capital and Portfolio Management 519
Improving Portfolio Performance 521
Performance Metrics 526
Reduced-Form Models and Portfolio Modeling 530
Correlation in Intensity Models 531
Copulas 534
Frailty 536
Integrating Market and Credit Risk 541
Counterparty Risk in Credit Default Swaps (CDS)
and Credit Portfolios 544
Conclusion 546
Review Questions 547
Exercises 548
CHAPTBI9
Buttmg a Better Bank: A Case Study 551
Description 552
Current Organization 554
Transforming the Capital Allocation Process 556
Portfolio Analysis 558
Active Credit Portfolio Management (ACPM) 562
Data, Systems, and Metrics 563
ACPM and Transforming the Bank 566
Appendix: Figures 569
Exercises 574
References 575
About the Authors 589
Index 591
|
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| language | English |
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| physical | XXIX, 610 S. graph. Darst. |
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| spelling | Bohn, Jeffrey R. 1967- Verfasser (DE-588)138132364 aut Active credit portfolio management in practice Jeffrey R. Bohn ; Roger M. Stein Hoboken, NJ Wiley 2009 XXIX, 610 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Credit Management Portfolio management Risk management Kreditkontrolle (DE-588)4120617-4 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 s Kreditkontrolle (DE-588)4120617-4 s b DE-604 Stein, Roger M. 1966- Sonstige (DE-588)1031835423 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017364482&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bohn, Jeffrey R. 1967- Active credit portfolio management in practice Credit Management Portfolio management Risk management Kreditkontrolle (DE-588)4120617-4 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4120617-4 (DE-588)4114309-7 |
| title | Active credit portfolio management in practice |
| title_auth | Active credit portfolio management in practice |
| title_exact_search | Active credit portfolio management in practice |
| title_full | Active credit portfolio management in practice Jeffrey R. Bohn ; Roger M. Stein |
| title_fullStr | Active credit portfolio management in practice Jeffrey R. Bohn ; Roger M. Stein |
| title_full_unstemmed | Active credit portfolio management in practice Jeffrey R. Bohn ; Roger M. Stein |
| title_short | Active credit portfolio management in practice |
| title_sort | active credit portfolio management in practice |
| topic | Credit Management Portfolio management Risk management Kreditkontrolle (DE-588)4120617-4 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Credit Management Portfolio management Risk management Kreditkontrolle Kreditrisiko |
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