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Author Koulafetis, Panayiota,
Title Modern credit risk management : theory and practice / Panayiota Koulafetis.
Imprint London : Palgrave Macmillan, 2017.

View online
View online
Author Koulafetis, Panayiota,
Subject Credit.
Financial risk management.
Description 1 online resource
Bibliography Note Includes bibliographical references and index.
Contents List of Figures ; List of Exhibits; List of Diagrams; List of Tables; Chapter 1: Introduction; Credit and its Role in Financial Markets; Sources of Credit Risk; Deposits; Accounts Receivable, Prepayment of Goods or Services, Contingent Claims; Loans; Repurchase Agreements (Repos); Leases; Bonds; Derivatives; Credit and its Negative Impact; Sound Credit Risk Management; Credit Risk Policy and Approval Process; Setting Limits and Underwriting Criteria; Understanding and Mitigating Model Risk; Origination; Chapter 2: Quantitative Credit Risk Analysis and Management.
Default Probability (DP) Risk Neutral and Real World DPs; Equity Models: Merton Model, Moody's Analytics Expected Default Frequencies (EDFs); Kamakura Risk Information Services (KRIS) DP; Internal Methods Based on Financial Ratio Analysis: ; Altman DP; Recovery Rate; Credit VAR and Economic Capital; Credit Metrics: Credit Migration Approach ; Credit Risk Plus: Actuarial Approach; Credit Exposure; Basel I; Basel II and Basel 2.5; Basel III; Liquidity Coverage Ratio (LCR); Net Stable Funding Ratio (NSFR); Leverage Ratio (LR).
Capital Conservation Buffer and Countercyclical Buffer Credit Risk Approaches under Basel II; (1) The Standardized Approach (SA); (2) Internal Ratings-Based (IRB) Approach; Exposure at Default for Counterparty Credit Risk; (1) Current Exposure Method; (2) Standardized Method; (3) Internal Models Method (IMM); Standardized Approach for Counterparty Credit Risk (SA-CCR); Basel III-Counterparty Credit Risk (CCR); Advanced CVA Risk Capital Charge-CVA VAR; Standardized CVA Risk Capital Charge; X-Value Adjustments (XVA).
Chapter 3: Credit Ratings: Credit Rating Agencies, Rating Process and Surveillance Credit Rating Agencies-Nationally Recognized Statistical Rating Organizations; Introduction to Credit Ratings; The Rating Process; Moody's Provisional Ratings-(P); S & P's Preliminary Ratings: "Prelim"; Surveillance; Rating Outlook; Rating Review; What Drives Credit Rating Downgrades and Upgrades; Rating Confirmation, Affirmation, Withdrawal and Suspension; Credit Ratings' Usefulness; Credit Ratings' Limitations; Criticism of Credit Ratings; Credit Rating Types.
Moody's Global Long-Term Issue Credit Rating Scale and Definitions Moody's Global Short-Term Issue Credit Rating Scale and Definitions; Linkage amongst the Moody's Global Long-Term and Short-Term Rating Scales; Moody's Rated Obligations and Issuers on the Global Long-Term and Short-Term Rating Scales; Moody's National Scale Long-Term Ratings; Moody's National Scale Short-Term Ratings; Moody's Credit Estimate; Moody's Originator Assessments; Moody's Servicer Quality (SQ) Assessments; Standard & Poor's Long-Term Issue Credit Rating Scale and Definitions.
Summary Modern Credit Risk Management: From Theory to Practice is a practical guide to the latest risk management tools and techniques applied in the market to assess and manage credit risks at bank, sovereign, corporate and structured finance level. It strongly advocates the importance of sound credit risk management and how this can be achieved with prudent origination, credit risk policies, approval process, setting of meaningful limits and underwriting criteria. The book discusses the various quantitative techniques used to assess and manage credit risk, including methods to estimate default probabilities, credit value at risk approaches and credit exposure analysis. Basel I, II and III are covered, as are the true meaning of credit ratings, how these are assigned, their limitations, the drivers of downgrades and upgrades, and how credit ratings should be used in practise is explained. Modern Credit Risk Management not only discusses credit risk from a quantitative angle but further explains how important the qualitative and legal assessment is. Credit risk transfer and mitigation techniques and tools are explained, netting, ISDA master agreement, schedule and CSA, centralised counterparty clearing and margin collateral are all covered, as are overcollateralization, covenants and events of default. Credit derivatives are also explained, Total Return Swaps (TRS), Credit Linked Notes (CLN) and Credit Default Swaps (CDS). Furthermore, the author discusses what we have learned from the financial crisis of 2007 and sovereign crisis of 2010 and how credit risk management has evolved. Finally the book looks at the new regulatory environment, looking beyond Basel to the European Union (EU) Capital Requirements Regulation and Directive (CRR-CRD) IV, the Dodd--Frank Wall Street Reform and Consumer Protection Act. This book presents a fully up to date resource for credit risk practitioners everywhere, outlining the latest best practices, and providing both quantitative and qualitative insights. It will be a welcome addition to any risk library, and is a "must-have" reference for credit risk practitioners.
Note Online resource; title from PDF title page (EBSCO, viewed February 17, 2017).
ISBN 9781137524072 (electronic bk.)
1137524073 (electronic bk.)
ISBN/ISSN 10.1057/978-1-137-52407-2
OCLC # 972092260
Additional Format Printed edition: 9781137524065

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