Credit Risk Management In and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms (Wiley Finance) Reviews
Credit Risk Management In and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms (Wiley Finance)
A classic book on credit risk management is updated to reflect the current economic crisis
Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis.
Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans.
- Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them
- Concentrates on the underlying economics to objectively evaluate new models
- Includes new chapters on how to prevent another crisis from occurring
Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.
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Categories: Loan Products Tags: Approaches, Credit, Crisis, current, economic, Finance, Financial, Management, Paradigms, Price, Reviews, Risk, value, Wiley
Optimal Control of Credit Risk (Advances in Computational Management Science)
Optimal Control of Credit Risk (Advances in Computational Management Science)
Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial community, with new instruments (such as Credit Risk Derivatives) and new methodologies (such as Credit Metrics) being developed. The recent literature has focused on the pricing of credit risk. On the other hand, practitioners tend to eliminate credit risk rather than price it. They do so via collateralization. The authors propose here a methodological basis for an optimal collateralization.
The monograph is organized as follows: Chapter 1 reviews the main avenues of literature related to our problem; Chapter 2 provides a brief overview of the main optimal control principles; and Chapter 3 presents the models and their setting.
In the remaining chapters, the authors propose two sets of programs. One set of programs will apply in cases where the information on the assets=value is readily available (full observation case), while the other applies when costly audits are needed in order to assess this value (partial observation case).
In either case, the modeling stage leads to a set of quasi-variational inequalities which the authors attempt to solve numerically in the simpler case of full observations. This is done in Chapter 6. Finally a simulation analysis is carried out in Chapter 7, in which the authors study the influence on the control process of changes in the different model parameters. This precedes a discussion on possible extensions in Chapter 8 and some concluding remarks in Section 9.
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Categories: Loan Products Tags: advances, case, Chapter, Computational, Control, Credit, Management, Optimal, Price, Risk, Science, value
A Pragmatist’s Guide to Leveraged Finance: Credit Analysis for Bonds and Bank Debt (Applied Corporate Finance)
A Pragmatist’s Guide to Leveraged Finance: Credit Analysis for Bonds and Bank Debt (Applied Corporate Finance)
The First Practical Guide to Credit Analysis for Today’s ,500,000,000,000+ High-Yield Leveraged Bond and Loan Markets
The high-yield, leveraged bond and loan market now exceeds .3 trillion in North America, €650 billion in Europe, and another 0 billion in emerging markets—and it’s growing fast. This market combines aspects of conventional fixed income markets, the event-driven volatility typically associated with equities, and structural features present nowhere else. To succeed in this market, you need credit analysis skills and insights specifically designed for it. Now, for the first time, there’s a complete practical guide to performing this analysis.
Credit Suisse high-yield specialist Robert S. Kricheff focuses on how financial professionals actually prepare and use leveraged finance credit analysis, offering examples addressing diverse scenarios and a wide spectrum of credit risks, from companies near-investment-grade to firms in bankruptcy. He illuminates credit analysis as a dynamic process, shows how to evaluate both financial liquidity and asset protection, demonstrates how to use the field’s key tools, and explains how to apply the insights that make analysis an art, not just a science.
• Projecting liquidity
Will sufficient cash be generated to pay interest and principal?
• Evaluating assets
Can the investor be protected by the value of underlying assets?
• Applying financial ratios and metrics
How can credit quality be analyzed and investment options compared?
• Evaluating management and ownership
Can the company leaders deliver what they promise?
• Investing on breaking news
How can you profit from the junk bond market’s volatility?
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