PRMIA: Practices for Credit and Counterparty Credit Risk Management
A Primer for Professional Risk Managers in Financial Services
1st Edition
Published on 20. February 2023
384 pages
979-8-9876549-2-7 (ISBN)
Description
Practices for Credit and Counterparty Credit Risk Management provides a primer on sound practices of credit and counterparty credit risk management. Covering topics from classic credit instruments and the credit lifecycle to complex credit derivatives, securitization, credit risk modeling, portfolio management, counterparty credit basics, risk mitigation aspects, and the management of counterparty credit risk, this resource will be invaluable for financial risk managers responsible for credit risk management.
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Content
- Intro
- Foreword
- Chapter 1-Classic Credit Products
- Important Credit Instruments
- Building Blocks
- Instruments
- Chapter 2-Classic Credit Life Cycle
- Introduction to Credit Risk and Credit Risk Basics
- Origination Phase
- Credit Risk Assessment
- Monitoring Phase
- Workout Phase
- Other Considerations
- Chapter 3-Classic Credit Risk Methodology
- Introduction and Setting the Scene
- Fundamental Credit Analysis
- Analyzing Wholesale Credit
- Analyzing Retail Credit
- Conclusion: Classic versus Modern Credit Analysis Methodologies
- Chapter 4-Credit Derivatives and Securitization
- Structured Credit as a Funding Tool
- Linear Credit Risk Transfer
- Structured Credit as a Risk Management Tool
- Bespoke Structured Credit
- Chapter 5-Modern Credit Risk Modeling
- Credit Risk Parameters
- Credit Value-at-Risk (VaR) Models
- Implementation
- Modeling Credit Risk Mitigation
- Risk Allocation and Performance Management
- Chapter 6-Credit Portfolio Management
- CPM Goals and Philosophy
- CPM Instruments
- CPM Analytics
- CPM in Practice
- Chapter 7-Basics of Counterparty Risk
- Historical Perspective
- The Over-the-Counter (OTC) Derivative Market
- Exposure Measurement
- Risk Appetite
- Chapter 8-Risk Mitigation
- Documentation
- Netting
- Collateral
- Clearing
- Compression
- Guarantees, Intermediation, and Credit Insurance
- Chapter 9-Credit Valuation Adjustment (CVA)
- CVA Definition and Calculating CVA
- Debit Valuation Adjustment (DVA)
- Wrong-Way Risk
- Organizational Challenge
- Chapter 10-CVA-Related Aspects: Toward XVA
- Funding Valuation Adjustment (FVA)
- Capital
- Leverage Ratio
- Liquidity Ratios
- Chapter 11-Managing Counterparty Risk and CVA
- Hedging CVA
- Central Clearing Counterparties (CCP)
- Managing Distressed Names and Defaults
- References
- About PRMIA
