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Book Categories |
| Ch. 1 | The Revolution in Credit - Capital is the Key | 1 |
| App. to Chapter 1: A Credit Portfolio Model Inside the IRB Risk Weights | 21 | |
| Pt. 1 | The Credit Portfolio Management Process | 25 |
| Ch. 2 | Modern Portfolio Theory and Elements of the Portfolio Modeling Process | 27 |
| Ch. 3 | Data Requirements and Sources for Credit Portfolio Management | 41 |
| Ch. 4 | Credit Portfolio Models | 109 |
| App. to Chapter 4: Technical Discussion of Moody's - KMV Portfolio Manager | 162 | |
| Pt. 2 | Tools to Manage a Portfolio of Credit Assets | 181 |
| Ch. 5 | Loan Sales and Trading | 183 |
| Ch. 6 | Credit Derivatives | 193 |
| Ch. 7 | Securization | 225 |
| Pt. 3 | Capital Attribution and Allocation | 241 |
| Ch. 8 | Capital Attribution and Allocation | 243 |
| App. to Chapter 8: Quantifying Operational Risk | 270 | |
| App.: Statistics for Credit Portfolio Management | 277 | |
| References | 327 | |
| Index | 333 |
| Price | Condition | Delivery | Seller | Action |
| $99.99 | Digital |
| WonderClub |
Wendy Templeton
reviewed Credit Portfolio Management on January 09, 2019
Credit Portfolio Management
Banks want to optimize Economic Profit, i.e. Adjusted Net Income - Economic Capital x Required Return on Capital
Economic Capital is risk-based, and includes credit risk (around Tail), market risk (around Mean) and operational risk.
Credit risk comes from the credit default loss. It depends on default probability and default correlation. One way to estimate credit risk capital is to simulate asset value (based on their return distribution and correlation assumption) and count defaults under all scenarios. The output is portfolio's future value distribution, after accounting for default loss. Should include loss from spread widening or rating downgrade too.
Market risk is VaR based.
Three types of risk attribution: standalone, which is used to evaluate managers' performance; marginal attribution, which is often used in acquisitions or divestitures; diversified capital, which is based on each part's beta to the portfolio. The sum of standalone attribution is bigger than the total capital requirement, the sum of marginal attribution smaller, and the sum of diversified capital is exactly the total capital.
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Add Credit Portfolio Management, Praise for Credit Portfolio Management This book takes a complex subject and makes it accessible and practical. The discussion of economic capital is particularly relevant to any firm that wants to enhance value for its stakeholders. This is important, Credit Portfolio Management to the inventory that you are selling on WonderClubX
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Add Credit Portfolio Management, Praise for Credit Portfolio Management This book takes a complex subject and makes it accessible and practical. The discussion of economic capital is particularly relevant to any firm that wants to enhance value for its stakeholders. This is important, Credit Portfolio Management to your collection on WonderClub |
