Measuring and Managing Credit Risk by Servigny, Arnaud de -- Read -- Imperial Library of Trantor

Index

Cover Page Measuring and Managing Credit Risk Copyright Page Dedication Contents Foreword Introduction Acknowledgments Chapter 1 Credit, Financial Markets, and Microeconomics

The Role of Debt in the Theory of the Firm Banking Intermediation Theory Conclusion

Chapter 2 External and Internal Ratings

Ratings and External Agencies Comments and Criticisms about External Ratings Approaching Credit Risk through Internal Ratings or Score-Based Ratings Conclusion

Chapter 3 Default Risk: Quantitative Methodologies

Assessing Default Risk Through Structural Models Credit Scoring Conclusion

Chapter 4 Loss Given Default

Some Definitions What Measure of Recovery Should One Use? History and Determinants of Recovery Rates Recovery on Nontraded Debt The Importance of Stochastic Recovery Rates Fitting Recovery Functions Extracting Recoveries from Security Prices Conclusion

Chapter 5 Default Dependencies

Sources of Dependencies Correlations and Other Dependency Measures Default Dependencies—Empirical Findings Conclusion

Chapter 6 Credit Risk Portfolio Models

Credit Risk Portfolio Models: What For? Classes of Models Review of Commercial Models Alternative Approaches Calculating Risk-Adjusted Performance Measures (RAPM) Stress-Testing Portfolio Loss Calculations Conclusion

Chapter 7 Credit Risk Management and Strategic Capital Allocation

Chapter 8 Yield Spreads

Corporate Spreads Conclusion

Chapter 9 Structured Products and Credit Derivatives

Credit Derivatives Collateralized Debt Obligations Conclusion

Chapter 10 Regulation

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 The New Basel Regulation—Its Strengths and Shortcomings Conclusion

Epilogue Notes References Index