Synopses & Reviews
State-of-the-art tools and techniques for controlling credit risk exposure of all types, in every environment The oldest risk in world financial markets--credit risk--has become a leading source of problems and confusion, not just for bankers and investors but for all finance professionals. The Standard and Poor's Guide to Measuring and Managing Credit Risk will help you understand every aspect of credit risk, and provide you with today's most up-to-date techniques and models for identifying, measuring, monitoring, and controlling your organization's credit risk exposure.
Praise for The Standard and Poor's Guide to Measuring and Managing Credit Risk:
"de Servigny and Renault have written a valuable reference book on the analytics of credit markets. Theory and data are integrated seamlessly throughout the manuscript. The mathematical treatment is complete, though not overbearing. The economics, pricing, structuring and capital allocation aspects are artfully combined into a coherent whole."
--Jamil Baz, Global Head of Fixed Income Research, Deutsche Bank
"This is much more than just a 'how to' book--it is analytically complete in that it looks at the microeconomics of industry structure to understand why credit risks have to be measured and monitored as well as being comprehensive in covering all the different approaches used to monitor and measure credit risk."
--Bunt Ghosh, Global Head of Fixed Income Research, Credit Suisse First Boston
"This extensive work, really clear while dealing with sophisticated methodologies, is right in the heart of today's concerns."
--Jean-Pierre Mustier, CEO, SG Corporate and Investment Banking
"de Servigny and Renault provide a comprehensive treatment of all aspects of modern credit risk measurement, management, and mitigation, not only for large corporations but also for retail and small business (with an excellent chapter on credit scoring). This book is an absolute must for both academics and risk professionals, especially those struggling with the implementation of Basel II."
--Michel Crouhy, Head of Business Analytic Solutions, Canadian Imperial Bank of Commerce
Fast-changing regulations, transformative technologies, and today's go-for-broke business mentality present investment banks and other lenders with default problems that are both unprecedented and daunting. To keep pace with this change, finance professionals are finding they must continually review and upgrade their credit risk management tools and techniques.
The Standard and Poor's Guide to Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firm's credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with discerning data and insights, this authoritative book examines every key aspect of credit risk, including:
- Determinants of credit risk and pricing/spread implications
- Quantitative models for moving beyond Altman's Z score to separate "good" borrowers from "bad"
- Key determinants of loss given default, and potential links between recovery rates and probabilities of default
- Measures of dependency including linear correlation, and the impact of correlation on portfolio losses
- A detailed review of five of today's most popular portfolio models--CreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, CreditRisk+, and Portfolio Manager
- How credit risk is reflected in the prices and yields of individual securities
- How derivatives and securitization instruments can be used to transfer and repackage credit risk
Today's credit risk measurement and management tools and techniques provide organizations with dramatically improved strength and flexibility, not only in mitigating risk but also in improving overall financial performance. The Standard and Poor's Guide to Measuring and Managing Credit Risk introduces and explores each of these tools, along with the rapidly evolving global credit environment, to provide bankers and other financial decision-makers with the know-how to avoid excessive credit risk where possible--and mitigate it when necessary.
Synopsis
"STANDARD & POOR'S PRESS
Today's most complete, up-to-date reference for controlling credit risk exposure of all types, in every environment
While credit risk may be the oldest source of risk in the financial markets, today's fastchanging regulations and transformative technologies present investment banks with problems that are new and daunting. "The Standard & Poor's Guide to Measuring and Managing Credit Risk provides financial professionals with a comprehensive course on all aspects of today's increasingly complex credit risk environment, along with newer tools and strategies they can use to identify, measure, monitor, and control risk. Moving far beyond the Basel guidelines, this in-depth guide takes a global view of the issue, explaining how credit risk is linked more than ever to markets and how to manage it accordingly. Filled with trusted Standard & Poor's data and insight, this hands-on book discusses: Three types of default correlation and how to address each Quantitative approaches for default risk modeling Derivative and securitization techniques for increasing liquidity
Synopsis
Today's most complete, up-to-date reference for controlling credit risk exposure of all types, in every environment Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firms credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with up-to-the-minute data and insights, this authoritative book examines every key aspect of credit risk, including:
- Determinants of credit risk and pricing/spread implications
- Quantitative models for moving beyond Altmans Z score to separate “good” borrowers from “bad”
- Key determinants of loss given default, and potential links between recovery rates and probabilities of default
- Measures of dependency including linear correlation, and the impact of correlation on portfolio losses
- A detailed review of five of todays most popular portfolio modelsCreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, CreditRisk+, and Portfolio Manager
- How credit risk is reflected in the prices and yields of individual securities
- How derivatives and securitization instruments can be used to transfer and repackage credit risk
Todays credit risk measurement and management tools and techniques provide organizations with dramatically improved strength and flexibility, not only in mitigating risk but also in improving overall financial performance. Measuring and Managing Credit Risk introduces and explores each of these tools, along with the rapidly evolving global credit environment, to provide bankers and other financial decision-makers with the know-how to avoid excessive credit risk where possibleand mitigate it when necessary.
Synopsis
A concise, yet comprehensive, guidebook that addresses the practical aspects of investing in fixed income investments
The Investors Guidebook series presents investment vehicles and strategies from both the issuers and the investors perspectives. Starting with basic concepts and then building to state-of-the-art pricing models, strategies, and tactics, these succinct handbooks will be useful for everyone from new hires through experienced professionals. Unlike most books, which are read once and sit on the shelf, professionals will refer to these books repeatedly throughout their careers.
About the Author
Stuart R. Veale is the president and founder of the Investment Performance Institute Inc., a firm that specializes in providing advanced level practical capital markets training and consulting services to the financial services industry. Previously he was a senior vice president of portfolio strategy and design for the national sales group at Prudential Securities Inc. and senior vice president of advanced training at PaineWebber Inc. He has published six books including The Handbook of the U.S. Capital Markets, Bond Yield Analysis, Tapping the Small Business Market, Essential Investment Math, Essential Asset Allocation, and Stocks, Bonds, Options, Futures.