The Handbook of Credit Risk Management · Originating, Assessing, and Managing Credit Exposures by Bouteillé, Sylvain -- Read -- Imperial Library of Trantor

Index

Cover Series Title Page Copyright Dedication Preface

PART ONE: ORIGINATION PART TWO: CREDIT ASSESSMENT PART THREE: PORTFOLIO MANAGEMENT PART FOUR: MITIGATION AND TRANSFER

Acknowledgments Part One: Origination

Chapter 1: Fundamentals of Credit Risk

WHAT IS CREDIT RISK? TYPES OF TRANSACTIONS THAT CREATE CREDIT RISK WHO IS EXPOSED TO CREDIT RISK? WHY MANAGE CREDIT RISK?

Chapter 2: Governance

GUIDELINES SETTING LIMITS SKILLS OVERSIGHT FINAL WORDS

Chapter 3: Checklist for Origination

DOES THE TRANSACTION FIT INTO MY STRATEGY? DOES THE RISK FIT INTO MY EXISTING PORTFOLIO? DO I UNDERSTAND THE CREDIT RISK? DOES THE SELLER KEEP AN INTEREST IN THE DEAL? ARE THE PROPER MITIGANTS IN PLACE? IS THE LEGAL DOCUMENTATION SATISFACTORY? IS THE DEAL PRICED ADEQUATELY? DO I HAVE THE SKILLS TO MONITOR THE EXPOSURE? IS THERE AN EXIT STRATEGY? FINAL WORDS

Part Two: Credit Assessment

Chapter 4: Measurement of Credit Risk

EXPOSURE DEFAULT PROBABILITY THE RECOVERY RATE THE TENOR DIRECT VERSUS CONTINGENT EXPOSURE THE EXPECTED LOSS

Chapter 5: Dynamic Credit Exposure

LONG-TERM SUPPLY AGREEMENTS DERIVATIVE PRODUCTS THE ECONOMIC VALUE OF A CONTRACT MARK-TO-MARKET VALUATION VALUE AT RISK (VaR)

Chapter 6: Fundamental Credit Analysis

ACCOUNTING BASICS A TYPICAL CREDIT REPORT AGENCY CONFLICT, INCENTIVES, AND MERTON'S VIEW OF DEFAULT RISK FINAL WORDS

Chapter 7: Alternative Estimations of Credit Quality

THE EVOLUTION OF AN INDICATOR: MOODY'S ANALYTICS EDF™ CREDIT DEFAULT SWAP PRICES BOND PRICES FINAL WORDS

Chapter 8: Securitization

ASSET SECURITIZATION OVERVIEW THE COLLATERAL THE ISSUER THE SECURITIES MAIN FAMILIES OF ABSs SECURITIZATION FOR RISK TRANSFER CREDIT RISK ASSESSMENT OF ABSs WAREHOUSING RISK FINAL WORDS

Part Three: Portfolio Management

Chapter 9: Credit Portfolio Management

LEVEL 1 LEVEL 2 LEVEL 3 ORGANIZATIONAL SET-UP AND STAFFING THE IACPM FINAL WORDS

Chapter 10: Economic Capital and Credit Value at Risk (CVaR)

CAPITAL: ECONOMIC, REGULATORY, SHAREHOLDER DEFINING LOSSES: DEFAULT VERSUS MARK TO MARKET CREDIT VALUE AT RISK OR CVaR CREATING THE LOSS DISTRIBUTION ACTIVE PORTFOLIO MANAGEMENT AND CVaR PRICING FINAL WORDS

Chapter 11: Regulation

DOING BUSINESS WITH A REGULATED ENTITY DOING BUSINESS AS A REGULATED ENTITY HOW REGULATION MATTERS: KEY REGULATION DIRECTIVES FINAL WORDS

Chapter 12: Accounting Implications of Credit Risk

LOAN IMPAIRMENT LOAN-LOSS ACCOUNTING REGULATORY REQUIREMENTS FOR LOAN-LOSS RESERVES IMPAIRMENT OF DEBT SECURITIES DE-RECOGNITION OF ASSETS CONSOLIDATION OF VARIABLE INTEREST ENTITIES (VIEs) ACCOUNTING FOR NETTING HEDGE ACCOUNTING CREDIT VALUATION ADJUSTMENTS, DEBIT VALUATION ADJUSTMENTS, AND OWN CREDIT RISK ADJUSTMENT IFRS 7 FINAL WORDS

Part Four: Mitigation and Transfer

Chapter 13: Mitigating Derivative Counterparty Credit Risk

MEASUREMENT OF COUNTERPARTY CREDIT RISK MITIGATION OF COUNTERPARTY CREDIT RISK THROUGH COLLATERALIZATION LEGAL DOCUMENTATION DEALERS VERSUS END-USERS BILATERAL TRANSACTIONS VERSUS CENTRAL COUNTERPARTY CLEARING PRIME BROKERS REPURCHASE AGREEMENTS FINAL WORDS

Chapter 14: Structural Mitigation

TRANSACTIONS WITH CORPORATES TRANSACTIONS WITH SPECIAL PURPOSE VEHICLES

Chapter 15: Credit Insurance, Surety Bonds, and Letters of Credit

CREDIT INSURANCE SURETY BONDS LETTERS OF CREDIT OR LoCs THE PROVIDERS' POINT OF VIEW FINAL WORDS

Chapter 16: Credit Derivatives

THE PRODUCT THE SETTLEMENT PROCESS VALUATION AND ACCOUNTING TREATMENT USES OF CDSs CREDIT DEFAULT SWAPS FOR CREDIT AND PRICE DISCOVERY CREDIT DEFAULT SWAPS AND INSURANCE INDEXES, LOAN CDSS, MCDSS, AND ABS CDSs

Chapter 17: Collateral Debt Obligations (CDOs)

WHAT ARE CDOs? COLLATERALIZED LOAN OBLIGATIONS OR CLOs ARBITRAGE CLOs BALANCE SHEET CLOs ABS CDOs CREDIT ANALYSIS OF CDOs FINAL WORDS

Chapter 18: Bankruptcy

WHAT IS BANKRUPTCY? PATTERNS OF BANKRUPT COMPANIES SIGNALING ACTIONS EXAMPLES OF BANKRUPTCIES FINAL WORDS

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