Frontiers in Credit Risk: Concepts and Techniques for Applied Credit Risk Measurement Book

	About the Contributors
	Preface
	Introduction and Overview
Pt. I	The Case for Credit Risk Measurement as a Necessary but not Sufficient Condition for Credit Risk Management	1
1	Credit Risk Measurement and Management: The Ironic Challenge in the Next Decade	3
2	The Changing Nature of Credit Relationships and Banking	10
3	Credit Risk Measurement: A Necessary Dimension of Credit Risk Management	15
4	The Foresaken Side of Risk Management: Have Deterministic Approaches Gone Too Far?	39
Pt. II	Concepts and Issues of Credit Risk Measurement	47
5	Building a Credit Risk Valuation Framework for Loan Instruments	49
6	Measuring the Unexpected: Events in Credit Risk	87
	Addendum: The Case of Enron	113
7	A Stress Test to Incorporate Correlation Breakdown	119
8	Neural Networks for Modeling Volatility and Market Capitalization	136
9	A Comparison of Stochastic Default Rate Models	153
10	Complexities and Validation of Default Risk Models	179
11	A Fundamental Credit Model: Review of Preliminary Test Results	212
Pt. III	Extension Areas for Measurement Approaches to Credit Risk	229
12	Measuring Default Risk in the US High-Yield Bond Market	231
13	Credit Risk Embedded in Over-the-Counter Derivatives	280
14	Internal Corporate Credit Portfolios: The Next Frontier in Credit Risk	300
15	Applying Portfolio Credit Risk Models to Retail Portfolios	313
16	The Structuring of Collateralized Loan Obligations: A Risk Perspective	358
17	Worst Loss Forecast in Counterparty Exposure	377
18	Moving Toward Private Company Credit Risk Measurement	387
19	Applying a Risk Measurement Model to Opportunity Evaluation	406
20	Credit Risk Management for Emerging Markets: Lessons from the Asian Crisis	419
	The SCA CreditVision Model and demo-CD Explained	459
	Bibliography	467
	Index	477