发帖
雷达卡
1. 资源名称：credit portfolio management
2. 作者：CHARLES SMITHSON
3. 资源类别：书籍
4. PDF 2M
5. 英文 第一版
CHAPTER 1The Revolution in Credit—Capital Is the Key 1The Credit Function Is Changing 1Capital Is the Key 6Economic Capital 8Regulatory Capital 11APPENDIX TO CHAPTER 1: A Credit Portfolio Model Insidethe IRB Risk Weights 21Note 23PART ONEThe Credit Portfolio Management Process 25CHAPTER 2Modern Portfolio Theory and Elements of the Portfolio 27Modeling ProcessModern Portfolio Theory 27Challenges in Applying Modern Portfolio Theory toPortfolios of Credit Assets 34Elements of the Credit Portfolio Modeling Process 38Note 40CHAPTER 3Data Requirements and Sources for CreditPortfolio Management 41Probabilities of Default 41Recovery and Utilization in the Event of Default 92Correlation of Defaults 102Notes 107CHAPTER 4Credit Portfolio Models 109Structural Models 110Explicit Factor Models 133Actuarial Models 141Analytical Comparison of the Credit Portfolio Models 148Empirical Comparison of the Credit Portfolio Models 153What Models Are Financial Institutions Using? 161Notes 161APPENDIX TO CHAPTER 4: Technical Discussion of Moody’s–KMV Portfolio Manager Mattia Filiaci 162Default Correlation 162Facility Valuation 163Generating the Portfolio Value Distribution 174Outputs 176Notes 178PART TWOTools to Manage a Portfolio of Credit Assets 181CHAPTER 5Loan Sales and Trading 183Primary Syndication Market 183Secondary Loan Market 191Note 192CHAPTER 6Credit Derivatives with Gregory Hayt 193Taxonomy of Credit Derivatives 193The Credit Derivatives Market 201Using Credit Derivatives to Manage a Portfolio of Credit Assets 203Pricing Credit Derivatives 209Notes 224CHAPTER 7Securitization 225Elements of a CDO 225“Traditional” and “Synthetic” CDO Structures 229Applications of CDOs 233To What Extent and Why Are Financial InstitutionsUsing Securitizations? 236Regulatory Treatment 237Note 240PART THREECapital Attribution and Allocation 241CHAPTER 8Capital Attribution and Allocation 243Measuring Total Economic Capital 243Attributing Capital to Business Units 247Attributing Capital to Transactions 252Performance Measures—The Necessary Preconditionto Capital Allocation 258Optimizing the Allocation of Capital 267Notes 269APPENDIX TO CHAPTER 8: Quantifying Operational Risk 270Process Approaches 274Factor Approaches 274Actuarial Approaches 275Notes 276APPENDIXStatistics for Credit Portfolio Management Mattia Filiaci 277Basic Statistics 278Applications of Basic Statistics 306Important Probability Distributions 314Notes 324References 327Index 333
Credit.Portfolio.Management.Ebook.pdf
(2.01 MB, 需要: 10 个论坛币)
京公网安备 11010802022788号
