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Contents CHAPTER 1 The Revolution in Credit—Capital Is the Key 1 The Credit Function Is Changing 1 Capital Is the Key 6 Economic Capital 8 Regulatory Capital 11 APPENDIX TO CHAPTER 1: A Credit Portfolio Model Inside the IRB Risk Weights 21 Note 23 PART ONE The Credit Portfolio Management Process 25 CHAPTER 2 Modern Portfolio Theory and Elements of the Portfolio 27 Modeling Process Modern Portfolio Theory 27 Challenges in Applying Modern Portfolio Theory to Portfolios of Credit Assets 34 Elements of the Credit Portfolio Modeling Process 38 Note 40 CHAPTER 3 Data Requirements and Sources for Credit Portfolio Management 41 Probabilities of Default 41 Recovery and Utilization in the Event of Default 92 Correlation of Defaults 102 Notes 107
CHAPTER 4 Credit Portfolio Models 109 Structural Models 110 Explicit Factor Models 133 Actuarial Models 141 Analytical Comparison of the Credit Portfolio Models 148 Empirical Comparison of the Credit Portfolio Models 153 What Models Are Financial Institutions Using? 161 Notes 161 APPENDIX TO CHAPTER 4: Technical Discussion of Moody’s– KMV Portfolio Manager Mattia Filiaci 162 Default Correlation 162 Facility Valuation 163 Generating the Portfolio Value Distribution 174 Outputs 176 Notes 178 PART TWO Tools to Manage a Portfolio of Credit Assets 181 CHAPTER 5 Loan Sales and Trading 183 Primary Syndication Market 183 Secondary Loan Market 191 Note 192 CHAPTER 6 Credit Derivatives with Gregory Hayt 193 Taxonomy of Credit Derivatives 193 The Credit Derivatives Market 201 Using Credit Derivatives to Manage a Portfolio of Credit Assets 203 Pricing Credit Derivatives 209 Notes 224 CHAPTER 7 Securitization 225 Elements of a CDO 225 “Traditional” and “Synthetic” CDO Structures 229 Applications of CDOs 233
To What Extent and Why Are Financial Institutions Using Securitizations? 236 Regulatory Treatment 237 Note 240 PART THREE Capital Attribution and Allocation 241 CHAPTER 8 Capital Attribution and Allocation 243 Measuring Total Economic Capital 243 Attributing Capital to Business Units 247 Attributing Capital to Transactions 252 Performance Measures—The Necessary Precondition to Capital Allocation 258 Optimizing the Allocation of Capital 267 Notes 269 APPENDIX TO CHAPTER 8: Quantifying Operational Risk 270 Process Approaches 274 Factor Approaches 274 Actuarial Approaches 275 Notes 276 APPENDIX Statistics for Credit Portfolio Management Mattia Filiaci 277 Basic Statistics 278 Applications of Basic Statistics 306 Important Probability Distributions 314 Notes 324 References 327 Index 333
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