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Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
Like its sister book, Managing Financial Risk (which deals with market
risk), this book evolved from a set of lecture notes. (My colleagues at
Rutter Associates and I have been teaching classes on credit portfolio management
to bankers and regulators for almost four years now.) When lecture
notes get mature enough that they start curling up on the edges, the
instructor is faced with a choice—either throw them out or turn them into
a book. I chose the latter.
The good news about writing a book on credit portfolio management
is that it is topical—credit risk is the area that has attracted the most attention
recently. The bad news is that the book will get out of date quickly. In
the credit market, tools, techniques, and practices are changing rapidly and
will continue to change for several years to come. We will try our best to
keep the book current by providing updates on our website
A number of people have contributed to this book. In particular, I want
to acknowledge my colleagues at Rutter Associates—Paul Song and Mattia
Filiaci. Without them, this book would never have been completed.
This book benefited greatly from my involvement with the newly
formed International Association of Credit Portfolio Managers (IACPM). I
learned a lot from conversations with the founding board members of that
organization: Stuart Brannan (Bank of Montreal); John Coffey (JP Morgan
Chase); Gene Guill (Deutsche Bank); Hetty Harlan (Bank of America);
Loretta Hennessey (CIBC); Charles Hyle (Barclays Capital); Paige Kurtz
(Bank One); Ed Kyritz (UBS); Robin Lenna (at Citibank at the time, now at
FleetBoston Financial); and Allan Yarish (at Royal Bank of Canada at the
time, now at Société Genérale).
For their contributions to and support for the 2002 Survey of Credit
Portfolio Management Practices, I want to thank Stuart Brannan
(IACPM and Bank of Montreal), David Mengle (ISDA), and Mark
Zmiewski (RMA).
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