Measuring and Managing Credit Risk

Arnaud de Servigny, Olivier Renault

467 pages, parution le 04/06/2004

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Résumé

de Servigny and Renault provide a comprehensive treatment of all aspects of modern credit risk measurement, management, and mitigation, not only for large corporations but also for retail and small business (with an excellent chapter on credit scoring). This book is an absolute must for both academics and risk professionals, especially those struggling with the implementation of Basel II.

Michel Crouhy, Head of Business Analytic Solutions, Canadian Imperial Bank of Commerce

Fast-changing regulations, transformative technologies, and todays go-for-broke business mentality present investment banks and other lenders with default problems that are both unprecedented and daunting. To keep pace with this change, finance professionals are finding they must continually review and upgrade their credit risk management tools and techniques.

The Standard & Poors Guide to Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firms credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with discerning data and insights, this authoritative book examines every key aspect of credit risk, including:

Determinants of credit risk and pricing/spread implications
Quantitative models for moving beyond Altmans Z score to separate good borrowers from bad
Key determinants of loss given default, and potential links between recovery rates and probabilities of default
Measures of dependency including linear correlation, and the impact of correlation on portfolio losses
A detailed review of five of todays most popular portfolio models--CreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, CreditRisk+, and Portfolio Manager
How credit risk is reflected in the prices and yields of individual securities
How derivatives and securitization instruments can be used to transfer and repackage credit risk

Todays credit risk measurement and management tools and techniques provide organizations with dramatically improved strength and flexibility, not only in mitigating risk but also in improving overall financial performance. The Standard & Poors Guide to Measuring and Managing Credit Risk introduces and explores each of these tools, along with the rapidly evolving global credit environment, to provide bankers and other financial decision-makers with the know-how to avoid excessive credit risk where possible--and mitigate it when necessary.

L'auteur - Arnaud de Servigny

Arnaud de Servigny est ingénieur civil des Ponts et Chaussées, titulaire d'un DEA de finance, docteur ès sciences économiques. II est responsable mondial de l'ingénierie financière chez Standard & Poor's.

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L'auteur - Olivier Renault

Libraire dans le 14^e arrondissement, Olivier Renault est également l'auteur de Montparnasse, les lieux de légende et de Montmartre, les lieux de légende, parus aux éditions Parigramme.

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Sommaire

Credit, Financial Markets, and Microeconomics
External and Internal Ratings
Default Risk: Quantitative Methodologies
Loss Given Default
Default Dependencies
Credit Risk Portfolio Models
Credit Risk Management and Strategic Capital Allocation
Yield Spreads
Structured Products and Credit Derivatives
Regulation

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Mc Graw Hill
Auteur(s)	Arnaud de Servigny, Olivier Renault
Parution	04/06/2004
Nb. de pages	467
Format	16 x 24
Couverture	Relié
Poids	810g
Intérieur	Noir et Blanc
EAN13	9780071417556
ISBN13	978-0-07-141755-6