Managing Credit Risk
The Next Great Financial Challenge
1st Edition
Published on 3. November 1998
Book
Hardback
464 pages
978-0-471-11189-4 (ISBN)
Description
Credit is the expectation of a sum of money within some limited time, and credit risk is the chance that expectation will not be met. Credit risk is the oldest risk in the financial markets, yet it has not traditionally received the same expert's attention as that of its more recent counterpart, market risk. In recent years however, market professionals, banks, and other institutions have created new instruments, like derivatives, by which to sell or trade credit risk. This commodification of credit risk has created the credit markets which have grown exponentially, thus creating the need for new information and a stron analytic foundation. Here Jack Caouette provides an all-encompassing discussion of credit in today's new credit market.
Reviews / Votes
"Against a backdrop of radical industry evolution, the authors of Managing Credit Risk: The Next Great Financial Challenge provide a concise and practical overview of these dramatic market and technical developments in a book which is destined to become a standard reference in the field." -Thomas C. Wilson, Partner, McKinsey & Company, Inc. "Managing Credit Risk is an outstanding intellectual achievement. The authors have provided investors a comprehensive view of the state of credit analysis at the end of the millennium." -Martin S. Fridson, Financial Analysts Journal. "This book provides a comprehensive review of credit risk management that should be compulsory reading for not only those who are responsible for such risk but also for financial analysts and investors. An important addition to a significant but neglected subject." -B.J. Ranson, Senior Vice-President, Portfolio Management, Bank of Montreal.More details
Series
Edition
1., Aufl.
Language
English
Place of publication
New York
United States
Publishing group
John Wiley and Sons Ltd
Target group
College/higher education
Professional and scholarly
Illustrations
Ill.
Dimensions
Height: 24.2 cm
Width: 16.5 cm
Weight
709 gr
ISBN-13
978-0-471-11189-4 (9780471111894)
Schweitzer Classification
Other editions
New editions
John B. Caouette | Edward I. Altman | Paul Narayanan
Managing Credit Risk
The Great Challenge for Global Financial Markets
Book
06/2008
2nd Edition
Wiley
€88.00
Shipment within 10-20 days
Persons
JOHN B. CAOUETTE is President of the Structured Finance Division of MBIA Insurance Corporation. He was formerly Chairman and CEO of Capital Markets Assurance Corporation.
EDWARD I. ALTMAN is the Max Heine Professor of Finance at New York University Stern School of Business and Vice Director of its Salomon Center. His previous publications include Corporate Bankruptcy in America and Corporate Finance and Bankruptcy (Wiley).
PAUL NARAYANAN is a credit and financial risk consultant who has worked in risk management at Chase Manhattan Bank, BankBoston, and Meritor PSFS. He is cobuilder of the Zeta model and has designed and implemented risk models for consumer, residential, and corporate sectors.
EDWARD I. ALTMAN is the Max Heine Professor of Finance at New York University Stern School of Business and Vice Director of its Salomon Center. His previous publications include Corporate Bankruptcy in America and Corporate Finance and Bankruptcy (Wiley).
PAUL NARAYANAN is a credit and financial risk consultant who has worked in risk management at Chase Manhattan Bank, BankBoston, and Meritor PSFS. He is cobuilder of the Zeta model and has designed and implemented risk models for consumer, residential, and corporate sectors.
Content
Credit Risk: The Next Great Challenge of the Financial Markets.; Credit Culture.; Classic Industry Players--Banks, Finance Companies, Insurance Companies, Industrial Companies.; Portfolio Managers--Investment Managers Unit Trusts, Mutual Funds, Pension Funds.; Structural Hubs--Derivative Dealers, Clearinghouses, and Exchanges.; Rating Agencies.; Classic Credit Analysis.; Asset--Based Lending.; Introduction to Credit Risk Models.; Credit Risk Models Based on Accounting Data and Market Values.; Corporate Credit Risk Models Based on Stock Price.; Consumer Finance Models.; Credit Models for Small Business, Real Estate, and Financial Institutions.; Model Testing and Implementation of Credit Risk Models.; Default Rates, Losses, and Recoveries.; Credit Risk Migration.; Introduction to Portfolio Approaches.; Credit Pricing, Risk--Adjusted Return, and Allocation of Capital.; Applications of Portfolio Approaches.; Credit Derivatives.; Credit Risk of Derivatives.; Country Risk Models.; Structured Finance.; A New World Driven by Analytics and Diversifying Agents.; The Rediscovery of Culture as a Primary Management Tool.; Appendix.; Index.