The handbook of credit risk management: originating, assessing, and managing credit exposures
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, NJ [u.a.]
Wiley
2013
|
| Series: | Wiley finance series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Klappentext |
| Physical Description: | XXI, 322 S. graph. Darst. |
| ISBN: | 9781118300206 |
Staff View
MARC
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(continued from front flap)
With the economic fallout from the financial
crisis, beginning in the late 2000s, it has
become more crucial than ever for risk managers
to have a clear understanding of sound credit risk
management principles and processes.
The Handbook of Credit Risk Management presents
a comprehensive overview of the practice of credit
risk management (CRM) for large institutions.
In this hands-on resource,
Sylvain Bouteille
and Diane Coogan-Pushner
—
noted experts on
the topic of financial risk management
—
offer a
comprehensive framework and solutions helpfu!
not just for financial institutions, pension funds,
or other institutions with large invested asset
portfolios, but also for non-financial corporations
or any organization having critical customer,
supplier, banking, or counterparty relationships.
The Handbook is written in a straightforward,
accessible style and presented in a logical format
that is consistent with a commonly employed
risk management framework. This reliable
resource offers a holistic treatment of CRM
and includes a checklist of nine key questions
that must be answered before accepting any
transaction generating credit risk. In addition,
the authors outline the four sequential steps
to the management of credit risk
—
origination,
credit assessment, portfolio management, and
mitigation and transfer
—
and show how these
steps must interact to protect an organization's
balance sheet.
Comprehensive in scope, this book covers a
wealth of topics including fundamental and
alternative credit analysis, securitization, credit
portfolio management, economic capital, credit
insurance, surety bonds, letters of credit,
credit risk measurement, credit derivatives,
and much more.
I continued on back flap)
The Handbook of Credit Hisk Management is an
indispensable resource for risk managers wanting
to strengthen their skills with tangible, real-world
applications of credit risk management, which
their organizations can readily implement.
SYLVAIN BOUTEILLE
is Head Key Account
Management and a member of the management
team of the North American division of Swiss Re
Corporate Solutions. In
1996,
he joined Swiss Re
in Zurich, Switzerland, in the newly created credit
risk management division. In
1998,
Bouteille
moved to New York where, as U.S. Head of
Credit Risk Management, he was responsible
for credit risk aspects of all insurance and capital
markets transactions. In
2003,
he became U.S.
Head of Structured Credit Underwriting, where
he originated and structured credit derivatives
and financial guaranty reinsurance transactions.
Since
2008,
Bouteille
has been working with risk
managers of Fortune
500
companies to develop
traditional and non-standard insurance solutions.
Bouteille
holds an MS in civil engineering from
ENTPE (France) and an MBA from INSEAD (France).
DIANE COOGAN-PUSHNER is Distinguished
Lecturer and Director of the Graduate Program
in Risk Management at Queens College, City
University of New York. She began her career
in financial services at the World Bank and held
increasingly senior positions in finance and
strategy at AT&T and PricewaterhouseCoopers.
Coogan-Pushner moved to Swiss Re, and as
Managing Director, originated and structured
reinsurance transactions and other risk transfer
solutions for insurance clients. Other credits
include roles as a portfolio manager for a
hedge fund and for a private equity fund both
dedicated to financial services. She has served
as a director for an insurer and as a member of
S&P's Insurance Ratings Advisory Council, and
consults to financial institutions in their asset
management strategy. She received her PhD in
economics from Boston University in
1992
and is
a CFA
charterholder.
Praise for
CREDIT RISK MANAGEMENT
''Bouteille
and Coogan-Pushner successfully capture the basics of credit risk with
this straightforward, easy-to-read script providing a comprehensive overview of
credit
instruments
and modem risk practices. A recommended study for those
focused upon learning the nuts and bolts of credit risk management."
—Loretta M.
Hennessey, President, L. Hennessey Associates LLC,
and first chair, International Association of
Credit Portfolio Managers (lACPM)
The ongoi
management
serves
institi
daily
b s
Wf
Manage·
de
approac
of asse$
oorta
rehe¡
reminds us of the relevance of sound credit risk
acesses. The worldwide economic downturn
all for company executives and financial
Ttple financial transactions performed on a
d
jeopardize the very existence of a firm.
π
credit risk, The Handbook of Credit Risk
tment of the essential elements that
эк
management The fundamental
management is more than the art
íes
and individual transactions. In this
and Diane Coogan-Pushner present a
ed
around four sequential steps: origination,
э
management and mitigation and transfer.
management as a discipline is more important than
book as your guide, you'll gain valuable insights into
apply this framework in real-world situations.
Contents
Preface
Acknowledgments
xxi
MRT
ONE
СНАРТВП
Fundamentals of Cradft Risk
8
What Is Credit Risk?
3
Types or Transactions That Create Credit Risk
5
Who Is Exposed to Credit Risk?
9
Why Manage Credit Risk?
18
CHAPTER*
Governance
21
Guidelines
22
Setting Limits
25
Skills
26
Oversight
29
CHAPTERS
Checttst for Origination
88
Does the Transaction Fit into My Strategy?
34
Does the Risk Fit into My Existing Portfolio?
35
Do I Understand the Credit Risk?
36
Does the Seller Keep an Interest in the Deal?
37
Are the Proper Mitigants in Place?
38
Is the Legal Documentation Satisfactory?
38
Is the Deal Priced Adequately?
39
Do I Have the Skills to Monitor the Exposure?
40
Is There an Exit Strategy?
40
vl
CONTENTS
PART TWO
eredt
Assessment
сшита
4
Measurement of Credit Risk
45
Exposure
45
Default Probability
50
The Recovery Rate
60
The Tenor
62
Direct versus Contingent Exposure
63
The Expected Loss
63
СНАРТИ6
Dynamic Credit Exposure
65
Long-Term Supply Agreements
66
Derivative Products
68
The Economic Value of a Contract
71
Mark-to-Market Valuation
73
Value at Risk (VaR)
76
СНАРТИв
Fundamental
Credit Analysis
79
Accounting Basics
80
A Typical Credit Report
88
Agency Conflict, Incentives, and Merton's
View of Default Risk
97
СНАРТИ7
Alternative Estimations ot Credit Quaftty
108
The Evolution of an Indicator: Moody's Analytics EDF™
104
Credit Default Swap Prices
110
Bond Prices
116
CHAPTERS
Securlttzatton
118
Asset Securitization Overview
120
The Collateral
123
The Issuer
127
The Securities
128
iViain Families of
ABS 131
Securitization for Risk Transfer
135
Contents
_ ix
Credit
Risk Assessment of
ABS 137
Warehousing Risk
138
PAKTTHRB
Portfolio Management
(ЖАРТИ
9
Cp««
Portfolio
Management
148
Level
1 145
Level
2 149
Level
3 153
Organizational Set-Up and Staffing
155
ThelACPiM
156
СНАРТБИО
Economic
Captai
and Credit Value at Risk (CVaR)
158
Capital: Economic, Regulatory, Shareholder
160
Defining Losses: Default versus Mark-to-Market
163
Credit Value at Risk or CVaR
165
Creating the Loss Distribution
171
Active Portfolio iVianagement and CVaR
179
Pricing
181
CHAPTER
Τ
1
Regulation
183
Doing Business with a Regulated Entity
184
Doing Business as a Regulated Entity
189
How Regulation Matters: Key Regulation Directives
190
CHAPTER
12
Accounting Implications of Credit Risk
201
Loan Impairment
202
Loan-Loss Accounting
203
Regulatory Requirements for Loan-Loss Reserves
205
Impairment of Debt Securities
206
Derecognition of Assets
207
Consolidation of Variable Interest Entities (VIEs)
208
Accounting for Netting
209
Hedge Accounting
211
Credit Valuation Adjustments, Debit Valuation
Adjustments and Own Credit Risk Adjustment
212
IFRS7
213
CONTENTS
MRT
FOUR
МЮдвИоп
and
Transí
en
СНАРТВИЗ
Mitigating Derivative Counterparty Credit Risk
217
Measurement of Counterparty Credit Risk
217
Mitigation of Counterparty Credit Risk
through Collateralization
218
Legal Documentation
225
Dealers versus End-Users
226
Bilateral Transactions versus Central Counterparty Clearing
227
Prime Brokers
229
Repurchase Agreements
230
Final Words
232
СНАРТВШ
Structurai
Mitigation
288
Transactions with Corporates
234
Segmentation of the Commercial Loan Market
Senior versus Junior Debt
Secured versus Unsecured Loans
Covenants
Events of Default
Transactions with Special Purpose Vehicles
240
Impact of Structural Mitigants on Default Probability
Impact of Structural Mitigants on Recovery Rates
Senior/Subordinated Structures
Credit Enhancement
СНЛРТБПб
Credit Insurance, Surety Bonds, and Letters of CredR
248
Credit Insurance
250
Surety Bonds
255
Letters of Credit or LoCs
258
The Providers' Point of View
263
СНАРТВИб
Crem
Derivatives
287
The Product
267
The Settlement Process
270
Valuation and Accounting Treatment
274
Contents _xl
Uses of CDS
276
Credit Default Swaps for Credit and Price Discovery
280
Credit Default Swaps and Insurance
280
Indexes, Loan CDSs, MCDSs, and
ABS
CDSs
280
CHAPTER
17
Colateral
Debt Obligations (CDOs)
288
What Are CDOs?
283
Collateralized Loan Obligations or CLOs
286
Arbitrage CLOs
287
Balance Sheet CLOs
290
ABS
CDOs
292
Credit Analysis of CDOs
296
СНАРТВИб
Bankruptcy
801
What Is Bankruptcy?
301
Patterns of Bankrupt Companies
303
Signaling Actions
306
Examples of Bankruptcies
307
About the Authors
311
818 |
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| id | DE-604.BV040359854 |
| illustrated | Illustrated |
| indexdate | 2025-02-02T13:00:20Z |
| institution | BVB |
| isbn | 9781118300206 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025213724 |
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| spelling | Bouteillé, Sylvain Verfasser aut The handbook of credit risk management originating, assessing, and managing credit exposures Sylvain Bouteillé ; Diane Coogan-Pushner Credit risk management Hoboken, NJ [u.a.] Wiley 2013 XXI, 322 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s DE-604 Coogan-Pushner, Diane Verfasser (DE-588)1032092173 aut Erscheint auch als Online-Ausgabe 978-1-118-30020-6 Erscheint auch als Online-Ausgabe 978-1-118-42146-8 Erscheint auch als Online-Ausgabe 978-1-118-43389-8 Digitalisierung UB Bayreuth - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025213724&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Bayreuth - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025213724&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Bouteillé, Sylvain Coogan-Pushner, Diane The handbook of credit risk management originating, assessing, and managing credit exposures Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4121590-4 |
| title | The handbook of credit risk management originating, assessing, and managing credit exposures |
| title_alt | Credit risk management |
| title_auth | The handbook of credit risk management originating, assessing, and managing credit exposures |
| title_exact_search | The handbook of credit risk management originating, assessing, and managing credit exposures |
| title_full | The handbook of credit risk management originating, assessing, and managing credit exposures Sylvain Bouteillé ; Diane Coogan-Pushner |
| title_fullStr | The handbook of credit risk management originating, assessing, and managing credit exposures Sylvain Bouteillé ; Diane Coogan-Pushner |
| title_full_unstemmed | The handbook of credit risk management originating, assessing, and managing credit exposures Sylvain Bouteillé ; Diane Coogan-Pushner |
| title_short | The handbook of credit risk management |
| title_sort | the handbook of credit risk management originating assessing and managing credit exposures |
| title_sub | originating, assessing, and managing credit exposures |
| topic | Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Kreditrisiko Risikomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025213724&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025213724&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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