Credit Portfolio Management (PDF)
(Sprache: Englisch)
A cutting-edge text on credit portfolio management
Credit risk. A number of market factors are causing revolutionarychanges in the way it is measured and managed at financialinstitutions. Charles Smithson, author of the bestselling ManagingFinancial Risk,...
Credit risk. A number of market factors are causing revolutionarychanges in the way it is measured and managed at financialinstitutions. Charles Smithson, author of the bestselling ManagingFinancial Risk,...
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A cutting-edge text on credit portfolio management
Credit risk. A number of market factors are causing revolutionarychanges in the way it is measured and managed at financialinstitutions. Charles Smithson, author of the bestselling ManagingFinancial Risk, introduces a portfolio management approach tocredit in his latest book. Understanding how to manage the inherentrisks of this market has become increasingly important over theyears. Credit Portfolio Management provides readers with a completeunderstanding of the alternative approaches to credit riskmeasurement and portfolio management. This definitive guidediscusses the pricing and managing of credit risks associated witha variety of off-balance-sheet products such as credit defaultswaps, total return swaps, first-to-default baskets, and creditspread options; as well as on-balance-sheet customized structuredproducts such as credit-linked notes, repackage notes, andsynthetic collateralized debt obligations (CDOs). Filled withexpert insight and advice, this book is a must-read for all creditprofessionals.
Charles W. Smithson, PhD (New York, NY), is the Managing Partner ofRutter Associates and Executive Director of the InternationalAssociation of Credit Portfolio Managers (IACPM). He is the authorof five books, including The Handbook of Financial Engineering andManaging Financial Risk (now in its Third Edition).
Credit risk. A number of market factors are causing revolutionarychanges in the way it is measured and managed at financialinstitutions. Charles Smithson, author of the bestselling ManagingFinancial Risk, introduces a portfolio management approach tocredit in his latest book. Understanding how to manage the inherentrisks of this market has become increasingly important over theyears. Credit Portfolio Management provides readers with a completeunderstanding of the alternative approaches to credit riskmeasurement and portfolio management. This definitive guidediscusses the pricing and managing of credit risks associated witha variety of off-balance-sheet products such as credit defaultswaps, total return swaps, first-to-default baskets, and creditspread options; as well as on-balance-sheet customized structuredproducts such as credit-linked notes, repackage notes, andsynthetic collateralized debt obligations (CDOs). Filled withexpert insight and advice, this book is a must-read for all creditprofessionals.
Charles W. Smithson, PhD (New York, NY), is the Managing Partner ofRutter Associates and Executive Director of the InternationalAssociation of Credit Portfolio Managers (IACPM). He is the authorof five books, including The Handbook of Financial Engineering andManaging Financial Risk (now in its Third Edition).
Inhaltsverzeichnis zu „Credit Portfolio Management (PDF)“
Chapter 1. The Revolution in Credit--Capital Is the Key. PART 1. THE CREDIT PORTFOLIO MANAGEMENT PROCESS. Chapter 2. Modern Portfolio Theory and Elements of the Portfolio Modeling Process. Chapter 3. Data Requirements and Sources for Credit Portfolio Management. Chapter 4. Credit Portfolio Models. PART 2. TOOLS TO MANAGE A PORTFOLIO OF CREDIT ASSETS. Chapter 5. Loan Sales and Trading. Chapter 6. Credit Derivatives. Chapter 7. Securitization. PART 3. CAPITAL ATTRIBUTION AND ALLOCATION. Chapter 8. Capital Attribution and Allocation. Appendix: Statistics for Credit Portfolio Management. References. Index.
Autoren-Porträt von Charles Smithson
CHARLES W. SMITHSON is the Managing Partner of Rutter Associates.His career has spanned the gamut, with positions in academia,government, and the private sector. Smithson most recently workedfor CIBC, where he created the School of Financial Products. He wasformerly Managing Director for Risk Management Research andEducation at Chase Manhattan Bank, and Managing Director for RiskManagement Research at Continental Bank. The author of numerousarticles in professional and academic journals, Smithson is bestknown as the originator of the "Building Block Approach" toFinancial Products. He is the author of five books, including TheHandbook of Financial Engineering and Managing Financial Risk (nowin its third edition). Smithson was instrumental in the formationof the International Association of Credit Portfolio Managers(IACPM) and served as its first Executive Director. Smithson servedas a member of the Working Group for the Global DerivativesProject, sponsored by the Group of Thirty, and on the board ofdirectors of the International Swaps and Derivatives Association(ISDA). Smithson received his PhD in economics from TulaneUniversity.
Bibliographische Angaben
- Autor: Charles Smithson
- 2003, 1. Auflage, 352 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 0471465429
- ISBN-13: 9780471465423
- Erscheinungsdatum: 07.04.2003
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