Download a great book on measuring and analyzing the Credit Risk!
The authors:
[size=10.000000pt]ARNAUD DE SERVIGNY
[size=10.000000pt]OLIVIER RENAULT
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[size=11.000000pt]McGraw-Hill
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[size=10.000000pt]FOREWORD viiINTRODUCTION ixACKNOWLEDGMENTS xi
[size=9.000000pt]Chapter 1
[size=11.000000pt]Credit, Financial Markets, and Microeconomics 1
[size=10.000000pt]The Role of Debt in the Theory of the Firm 4Banking Intermediation Theory 12Conclusion 19
[size=9.000000pt]Chapter 2
[size=11.000000pt]External and Internal Ratings 23
[size=10.000000pt]Ratings and External Agencies 24
Comments and Criticisms about External Ratings 28Approaching Credit Risk through Internal Ratings or
[size=10.000000pt]Score-Based Ratings 39Conclusion 48
[size=9.000000pt]Chapter 3
[size=11.000000pt]Default Risk: Quantitative Methodologies 63
[size=10.000000pt]Assessing Default Risk Through Structural Models 64Credit Scoring 73
Conclusion 108
[size=9.000000pt]Chapter 4
[size=11.000000pt]Loss Given Default 117
[size=10.000000pt]Some Definitions 118
What Measure of Recovery Should One Use? 123History and Determinants of Recovery Rates 124Recovery on Nontraded Debt 136
The Importance of Stochastic Recovery Rates 138Fitting Recovery Functions 139[size=11.000000pt]
[size=10.000000pt]Extracting Recoveries from Security Prices 151Conclusion 153
[size=9.000000pt]Chapter 5
[size=11.000000pt]Default Dependencies 167
[size=10.000000pt]Sources of Dependencies 168
Correlations and Other Dependency Measures 170Default Dependencies—Empirical Findings 184Conclusion 208
[size=9.000000pt]Chapter 6
[size=11.000000pt]Credit Risk Portfolio Models 213
[size=10.000000pt]Credit Risk Portfolio Models: What For? 213Classes of Models 215
Review of Commercial Models 216Alternative Approaches 234
[size=10.000000pt]Calculating Risk-Adjusted Performance Measures (RAPM) 236Stress-Testing Portfolio Loss Calculations 248
Conclusion 251
[size=9.000000pt]Chapter 7
[size=11.000000pt]Credit Risk Management and Strategic Capital Allocation 271
[size=10.000000pt]Do Rating Agencies Have a Point of View on StrategicCapital Allocation? 272
[size=10.000000pt]What Is Bank Capital Meant For? 273
The Various Static Methodologies to Allocate Equity Capital
[size=10.000000pt]among Business Units 283
[size=10.000000pt]Performance Measurement, the Cost of Capital, and Dynamic EquityCapital Allocation 298
[size=10.000000pt]Conclusion 305
[size=9.000000pt]Chapter 8
[size=11.000000pt]Yield Spreads 309
[size=10.000000pt]Corporate Spreads 310Conclusion 328
[size=9.000000pt]Chapter 9
[size=11.000000pt]Structured Products and Credit Derivatives 347
[size=10.000000pt]Credit Derivatives 348Collateralized Debt Obligations 360Conclusion 376
[size=9.000000pt]Chapter 10
[size=11.000000pt]Regulation 383
[size=10.000000pt]A Brief History of Banking Regulation 384
The Principles of Banking Regulation 386
A Retrospective Look at the 1988 Basel Accord 392
Core Elements of the Second Basel Accord 393
The New Basel Regulation—Its Strengths and ShortcomingsConclusion 413
EPILOGUE 415NOTES 417REFERENCES 437INDEX 453[size=10.000000pt]
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