The handbook of credit risk management: originating, assessing, and managing credit exposures
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, New Jersey
Wiley
[2022]
|
| Ausgabe: | second edition |
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xxiii, 392 Seiten |
| ISBN: | 9781119835639 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV047961475 | ||
| 003 | DE-604 | ||
| 005 | 20230227 | ||
| 007 | t| | ||
| 008 | 220429s2022 xx |||| 00||| eng d | ||
| 020 | |a 9781119835639 |c hbk. |9 978-1-119-83563-9 | ||
| 035 | |a (OCoLC)1273120515 | ||
| 035 | |a (DE-599)BVBBV047961475 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-188 |a DE-N2 |a DE-739 | ||
| 082 | 0 | |a 332.7 | |
| 084 | |a QK 320 |0 (DE-625)141644: |2 rvk | ||
| 100 | 1 | |a Bouteillé, Sylvain |e Verfasser |0 (DE-588)1254820396 |4 aut | |
| 245 | 1 | 0 | |a The handbook of credit risk management |b originating, assessing, and managing credit exposures |c Sylvain Bouteillé, Diane Coogan-Pushner |
| 250 | |a second edition | ||
| 264 | 1 | |a Hoboken, New Jersey |b Wiley |c [2022] | |
| 264 | 4 | |c © 2022 | |
| 300 | |a xxiii, 392 Seiten | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley finance series | |
| 650 | 0 | 7 | |a Kreditrisiko |0 (DE-588)4114309-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Kreditrisiko |0 (DE-588)4114309-7 |D s |
| 689 | 0 | 1 | |a Risikomanagement |0 (DE-588)4121590-4 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Coogan-Pushner, Diane |e Verfasser |0 (DE-588)1032092173 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe, epub |z 978-1-119-83564-6 |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-1-119-83565-3 |
| 856 | 4 | 2 | |m Digitalisierung UB Passau - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=033342653&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-033342653 | |
Datensatz im Suchindex
| _version_ | 1822950656735969280 |
|---|---|
| adam_text |
Contents Preface xiii Acknowledgments xxi About the Companion website xxiii PARTONE Origination CHAPTER 1 Fundamentals of Credit Risk What Is Credit Risk? Types of Transactions That Create Credit Risk Who Is Exposed to Credit Risk? Why Manage Credit Risk? CHAPTER 2 Governance Guidelines Skills Setting Limits Oversight Final Words CHAPTERS Checklist for Origination Does the Transaction Fit into My Strategy? Does the Risk Fit into My Existing Portfolio? Do I Understand the Credit Risk? Does the Seller Keep an Interest in the Deal? 3 3 5 9 19 21 22 25 30 30 33 35 36 37 38 39 ѴІІ
VIII CONTENTS Are the Proper Mitigants in Place? Is the Legal Documentation Satisfactory? Is the Deal Priced Adequately? Do I Have the Skills to Monitor the Exposure? Is There an Exit Strategy? Final Words 40 41 41 42 43 44 PART TWO Credit Assessment CHAPTER 4 Measurement of Credit Risk 47 Exposure Probability of Default The Recovery Rate The Tenor Direct versus Contingent Exposure The Expected Loss 47 52 62 63 64 65 CHAPTER 5 Dynamic Credit Exposure 67 Long-Term Supply Agreements Derivative Products The Economic Value of a Contract Mark-to-Market Valuation Value at Risk (VaR) 68 70 73 75 78 CHAPTER 6 Fundamental Credit Analysis Accounting Basics A Typical Credit Report Agency Conflict, Incentives, and Merton’s View of Default Risk Final Words CHAPTER 7 Alternative Estimations of Credit Quality The Evolution of an Indicator: Moody’s Analytics EDF™ Credit Default Swap Prices Bond Prices Final Words 81 83 91 100 105 107 108 114 120 121
Contents CHAPTERS Consumer Finance What Is Consumer Finance? Segmentation of Consumer Finance Products Major Families of Consumer Finance Products Assessment of Credit Quality Decisions by Lenders Regulatory Environment ix 123 126 127 129 136 139 143 CHAPTSIS State and Local Government Credit 145 State and Local Governments Exposure Types Assessing Credit Risk Managing Credit Risk Final Words 145 146 152 156 160 CHAPTER 10 Sovereign Credit Risk Sovereign Borrowers Types of Sovereign Bonds Sovereign Debt Market Credit Analysis Mitigation Default and Recovery Final Words CHAPTER 11 Securitization Asset Securitization Overview The Collateral The Issuer The Securities Main Families of ABSs Securitization for Risk Transfer Credit Risk Assessment of ABS Warehousing Risk Final Words CHAPTER 12 Collateral Loan Obligations (CLOs) Overview of the Corporate Loan Market . What Are CLOs ? 161 161 162 163 163 166 167 168 166 171 174 178 179 182 186 189 191 192 103 194 194
X CONTENTS Arbitrage CLOs Balance Sheet CLOs ABS CDOs Credit Analysis of CLOs 196 200 205 207 PARTTHRΠPortfolio Management CHAPTHt13 Credit Portfolio Management , Level 1 Level 2 Level 3 Organizational Setup and Staffing The IACPM Final Words CHAPTER 14 Economic Capital and Credit Value at Risk (CVaR) Capital: Economic, Regulatory, Shareholder Defining Losses: Default versus Mark-to-Market (MTM) Credit Value at Risk or CVaR Creating the Loss Distribution Active Portfolio Management and CVaR Pricing Final Words CHAPTER 15 Regulation Doing Business with a Regulated Entity Doing Business as a Regulated Entity How Regulation Matters: Key Regulation Directives Final Words CHAPTER 16 Accounting Implications of Credit Risk Loan Impairment Loan-Loss Accounting 218 215 219 224 226 227 227 228 230 232 235 242 249 251 252 255 256 262 263 271 273 274 275
Contents Regulatory Requirements for Loan-Loss Reserves Impairment of Debt Securities Derecognition of Assets Consolidation of Variable Interest Entities (VIEs) Accounting for Netting Hedge Accounting Credit Valuation Adjustments, Debit Valuation Adjustments, and Own Credit Risk Adjustment 284 IFRS 7 Final Words Xl 277 278 279 280 281 282 285 285 PART FOUR Mitigation and Transfer CHAPTER 17 Mitigating Derivative Counterparty Credit Risk Measurement of Counterparty Credit Risk Mitigation of Counterparty Credit Risk through Collateralization 290 Legal Documentation Dealers versus End Users Bilateral Transactions versus Central Counterparty Clearing Prime Brokers Repurchase Agreements Final Words CHAPTER 18 Structural Mitigation Transactions with Corporates Transactions with Special Purpose Vehicles CHAPTER 19 Credit Insurance, Surety Bonds, and Letters of Credit Credit Insurance Surety Bonds Letters of Credit or LoCs The Providers’ Point of View Final Words 289 289 298 299 299 303 304 306 307 308 317 325 326 332 335 339 342
CONTENTS xii CHAPTER 20 Credit Derivatives The Product The Settlement Process Valuation and Accounting Treatment Uses of CDSs Credit Default Swaps for Credit and Price Discovery Credit Default Swaps and Insurance Indexes, Loan CDSs, MCDSs, and ABS CDSs CHAPTER 21 Dankruptcy What Is Bankruptcy? Patterns of Bankrupt Companies Signaling Actions Examples of Bankruptcies Final Words 345 345 349 354 356 360 360 361 383 364 365 368 369 372 About the Authors 373 Index 375 |
| adam_txt |
Contents Preface xiii Acknowledgments xxi About the Companion website xxiii PARTONE Origination CHAPTER 1 Fundamentals of Credit Risk What Is Credit Risk? Types of Transactions That Create Credit Risk Who Is Exposed to Credit Risk? Why Manage Credit Risk? CHAPTER 2 Governance Guidelines Skills Setting Limits Oversight Final Words CHAPTERS Checklist for Origination Does the Transaction Fit into My Strategy? Does the Risk Fit into My Existing Portfolio? Do I Understand the Credit Risk? Does the Seller Keep an Interest in the Deal? 3 3 5 9 19 21 22 25 30 30 33 35 36 37 38 39 ѴІІ
VIII CONTENTS Are the Proper Mitigants in Place? Is the Legal Documentation Satisfactory? Is the Deal Priced Adequately? Do I Have the Skills to Monitor the Exposure? Is There an Exit Strategy? Final Words 40 41 41 42 43 44 PART TWO Credit Assessment CHAPTER 4 Measurement of Credit Risk 47 Exposure Probability of Default The Recovery Rate The Tenor Direct versus Contingent Exposure The Expected Loss 47 52 62 63 64 65 CHAPTER 5 Dynamic Credit Exposure 67 Long-Term Supply Agreements Derivative Products The Economic Value of a Contract Mark-to-Market Valuation Value at Risk (VaR) 68 70 73 75 78 CHAPTER 6 Fundamental Credit Analysis Accounting Basics A Typical Credit Report Agency Conflict, Incentives, and Merton’s View of Default Risk Final Words CHAPTER 7 Alternative Estimations of Credit Quality The Evolution of an Indicator: Moody’s Analytics EDF™ Credit Default Swap Prices Bond Prices Final Words 81 83 91 100 105 107 108 114 120 121
Contents CHAPTERS Consumer Finance What Is Consumer Finance? Segmentation of Consumer Finance Products Major Families of Consumer Finance Products Assessment of Credit Quality Decisions by Lenders Regulatory Environment ix 123 126 127 129 136 139 143 CHAPTSIS State and Local Government Credit 145 State and Local Governments Exposure Types Assessing Credit Risk Managing Credit Risk Final Words 145 146 152 156 160 CHAPTER 10 Sovereign Credit Risk Sovereign Borrowers Types of Sovereign Bonds Sovereign Debt Market Credit Analysis Mitigation Default and Recovery Final Words CHAPTER 11 Securitization Asset Securitization Overview The Collateral The Issuer The Securities Main Families of ABSs Securitization for Risk Transfer Credit Risk Assessment of ABS Warehousing Risk Final Words CHAPTER 12 Collateral Loan Obligations (CLOs) Overview of the Corporate Loan Market . What Are CLOs ? 161 161 162 163 163 166 167 168 166 171 174 178 179 182 186 189 191 192 103 194 194
X CONTENTS Arbitrage CLOs Balance Sheet CLOs ABS CDOs Credit Analysis of CLOs 196 200 205 207 PARTTHRΠPortfolio Management CHAPTHt13 Credit Portfolio Management , Level 1 Level 2 Level 3 Organizational Setup and Staffing The IACPM Final Words CHAPTER 14 Economic Capital and Credit Value at Risk (CVaR) Capital: Economic, Regulatory, Shareholder Defining Losses: Default versus Mark-to-Market (MTM) Credit Value at Risk or CVaR Creating the Loss Distribution Active Portfolio Management and CVaR Pricing Final Words CHAPTER 15 Regulation Doing Business with a Regulated Entity Doing Business as a Regulated Entity How Regulation Matters: Key Regulation Directives Final Words CHAPTER 16 Accounting Implications of Credit Risk Loan Impairment Loan-Loss Accounting 218 215 219 224 226 227 227 228 230 232 235 242 249 251 252 255 256 262 263 271 273 274 275
Contents Regulatory Requirements for Loan-Loss Reserves Impairment of Debt Securities Derecognition of Assets Consolidation of Variable Interest Entities (VIEs) Accounting for Netting Hedge Accounting Credit Valuation Adjustments, Debit Valuation Adjustments, and Own Credit Risk Adjustment 284 IFRS 7 Final Words Xl 277 278 279 280 281 282 285 285 PART FOUR Mitigation and Transfer CHAPTER 17 Mitigating Derivative Counterparty Credit Risk Measurement of Counterparty Credit Risk Mitigation of Counterparty Credit Risk through Collateralization 290 Legal Documentation Dealers versus End Users Bilateral Transactions versus Central Counterparty Clearing Prime Brokers Repurchase Agreements Final Words CHAPTER 18 Structural Mitigation Transactions with Corporates Transactions with Special Purpose Vehicles CHAPTER 19 Credit Insurance, Surety Bonds, and Letters of Credit Credit Insurance Surety Bonds Letters of Credit or LoCs The Providers’ Point of View Final Words 289 289 298 299 299 303 304 306 307 308 317 325 326 332 335 339 342
CONTENTS xii CHAPTER 20 Credit Derivatives The Product The Settlement Process Valuation and Accounting Treatment Uses of CDSs Credit Default Swaps for Credit and Price Discovery Credit Default Swaps and Insurance Indexes, Loan CDSs, MCDSs, and ABS CDSs CHAPTER 21 Dankruptcy What Is Bankruptcy? Patterns of Bankrupt Companies Signaling Actions Examples of Bankruptcies Final Words 345 345 349 354 356 360 360 361 383 364 365 368 369 372 About the Authors 373 Index 375 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Bouteillé, Sylvain Coogan-Pushner, Diane |
| author_GND | (DE-588)1254820396 (DE-588)1032092173 |
| author_facet | Bouteillé, Sylvain Coogan-Pushner, Diane |
| author_role | aut aut |
| author_sort | Bouteillé, Sylvain |
| author_variant | s b sb d c p dcp |
| building | Verbundindex |
| bvnumber | BV047961475 |
| classification_rvk | QK 320 |
| ctrlnum | (OCoLC)1273120515 (DE-599)BVBBV047961475 |
| dewey-full | 332.7 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.7 |
| dewey-search | 332.7 |
| dewey-sort | 3332.7 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | second edition |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000 c 4500</leader><controlfield tag="001">BV047961475</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20230227</controlfield><controlfield tag="007">t|</controlfield><controlfield tag="008">220429s2022 xx |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781119835639</subfield><subfield code="c">hbk.</subfield><subfield code="9">978-1-119-83563-9</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1273120515</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV047961475</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-188</subfield><subfield code="a">DE-N2</subfield><subfield code="a">DE-739</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.7</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 320</subfield><subfield code="0">(DE-625)141644:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Bouteillé, Sylvain</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)1254820396</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">The handbook of credit risk management</subfield><subfield code="b">originating, assessing, and managing credit exposures</subfield><subfield code="c">Sylvain Bouteillé, Diane Coogan-Pushner</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">second edition</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Hoboken, New Jersey</subfield><subfield code="b">Wiley</subfield><subfield code="c">[2022]</subfield></datafield><datafield tag="264" ind1=" " ind2="4"><subfield code="c">© 2022</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">xxiii, 392 Seiten</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Wiley finance series</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kreditrisiko</subfield><subfield code="0">(DE-588)4114309-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Kreditrisiko</subfield><subfield code="0">(DE-588)4114309-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Coogan-Pushner, Diane</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)1032092173</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe, epub</subfield><subfield code="z">978-1-119-83564-6</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield><subfield code="z">978-1-119-83565-3</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Passau - ADAM Catalogue Enrichment</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=033342653&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-033342653</subfield></datafield></record></collection> |
| id | DE-604.BV047961475 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T19:40:36Z |
| indexdate | 2025-02-02T13:00:20Z |
| institution | BVB |
| isbn | 9781119835639 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033342653 |
| oclc_num | 1273120515 |
| open_access_boolean | |
| owner | DE-188 DE-N2 DE-739 |
| owner_facet | DE-188 DE-N2 DE-739 |
| physical | xxiii, 392 Seiten |
| publishDate | 2022 |
| publishDateSearch | 2022 |
| publishDateSort | 2022 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | Bouteillé, Sylvain Verfasser (DE-588)1254820396 aut The handbook of credit risk management originating, assessing, and managing credit exposures Sylvain Bouteillé, Diane Coogan-Pushner second edition Hoboken, New Jersey Wiley [2022] © 2022 xxiii, 392 Seiten 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, epub 978-1-119-83564-6 Erscheint auch als Online-Ausgabe 978-1-119-83565-3 Digitalisierung UB Passau - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=033342653&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| 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_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_exact_search_txtP | 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=033342653&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT bouteillesylvain thehandbookofcreditriskmanagementoriginatingassessingandmanagingcreditexposures AT cooganpushnerdiane thehandbookofcreditriskmanagementoriginatingassessingandmanagingcreditexposures |