Chapter 1
Credit, Financial Markets, and Microeconomics
The Role of Debt in the Theory of the Firm
Chapter 2
External and Internal Ratings
Comments and Criticisms about External Ratings
Approaching Credit Risk through Internal Ratings or Score-Based Ratings
Chapter 3
Default Risk: Quantitative Methodologies
Assessing Default Risk Through Structural Models
What Measure of Recovery Should One Use?
History and Determinants of Recovery Rates
The Importance of Stochastic Recovery Rates
Extracting Recoveries from Security Prices
Correlations and Other Dependency Measures
Default Dependencies—Empirical Findings
Chapter 6
Credit Risk Portfolio Models
Credit Risk Portfolio Models: What For?
Calculating Risk-Adjusted Performance Measures (RAPM)
Stress-Testing Portfolio Loss Calculations
Chapter 7
Credit Risk Management and Strategic Capital Allocation
Do Rating Agencies Have a Point of View on Strategic Capital Allocation?
What Is Bank Capital Meant For?
The Various Static Methodologies to Allocate Equity Capital among Business Units
Performance Measurement, the Cost of Capital, and Dynamic Equity Capital Allocation
Chapter 9
Structured Products and Credit Derivatives
Collateralized Debt Obligations
A Brief History of Banking Regulation
The Principles of Banking Regulation
A Retrospective Look at the 1988 Basel Accord
Core Elements of the Second Basel Accord