The Handbook Credit Portfolio Management
Buku ini diterbitkan tahun 2009 oleh McGraw-Hill Companies, Inc adalah buku edisi Pertama.
Judul: The Handbook Credit Portfolio Management
Oleh: Greg N. Gregoriou, et al (Editor)
Penerbit: McGraw-Hill Companies, Inc
Tahun: 2009
Jumlah Halaman: 506 hal.
Editor:
Greg N. Gregoriou adalah Profesor Keuangan di Sekolah Bisnis dan Ekonomi di Universitas Negeri New York (Plattsburgh). Dia memperoleh gelar bersama PhD (Keuangan) dari Universitas Quebec di Montreal,
sumber daya dengan Montreal tiga universitas besar lainnya (McGill, HEC, dan Concordia). Dia adalah salah seorang editor dan anggota dewan redaksi untuk peerreviewed jurnal ilmiah Journal of Derivatives and Hedge Funds. Ia juga seorang anggota dewan redaksi untuk Journal of Wealth Management, Journal of Risk Management in Financial Institutions, dan Brazilian Business Review.
Dia telah menulis lebih dari 50 artikel tentang hedge fund, dan dikelola berjangka dalam berbagai
AS dan Inggris peer-review publikasi, termasuk Journal of Portfolio Management, Journal of Futures Markets, European Journal of Operational Research, dan Annals of Operations Research. Dia telah menerbitkan 26 buku dengan John Wiley & Sons, Elsevier-Butterworth Heinemann-, McGraw-Hill, Palgrave-MacMillan, dan Risiko Buku.
Christian Hoppe bekerja sebagai spesialis senior untuk sekuritisasi dan kredit derivatif dalam pengelolaan portofolio kredit di perbankan korporasi dari Commerzbank AG di Frankfurt. Fokus utamanya adalah pada transaksi kredit terstruktur untuk secara aktif mengelola kredit portofolio korporasi. Sebelum ini, ia adalah manajer portofolio kredit di Dresdner Kleinwort, Bank Investasi lengan Dresdner Bank AG di Frankfurt. Dia memulai karirnya sebagai sebuah Bisnis dan Financial Controller untuk Dresdner Bank di Frankfurt, bertanggung jawab untuk bisnis klien perusahaan di Jerman. Ia menyelesaikan gelar ekonominya di Universitas Essen-Duisburg pada tahun 2003. Saat menulis tesis, Ia bekerja di Departemen Kelembagaan Penelitian Patokan Alternatif Strategi GmbH di Frankfurt. Kristen adalah Penulis co beberapa artikel dan buku serta penulis Derivatives Based on Alternative Investments—Construction dan Ways of Evaluation, published oleh Gabler.
Lingkup Pembahasan:
Buku ini bertujuan untuk membantu manajer portofolio di seluruh dunia untuk menguasai tantangan ini. Upaya Buku untuk memberikan bimbingan yang jujur bagi manajer portofolio secara aktif menjalankan berbagai asset kelas. Fokusnya pada aset kredit juga mencerminkan fakta bahwa kebanyakan fungsi credit portfolio management (CPM) kini telah ditetapkan, dan ke depan, perhatian utama CPM adalah mendorong transaksi. Buku ini memberikan koleksi artikel yang dirancang oleh praktisi dan akademisi yang terlibat dalam topik ini.
Buku ini menunjukkan isu-isu seputar akuntansi asimetris yang diperkenalkan pada tahun 2005 oleh US GAAP dan International Financial Reporting Standards (IFRS). Sedangkan untuk “fair value” yang mendasari kredit ekonomis terhormat ekonomis, menolak berbagai administrasi dan kesulitan transaksional yang membuat pilihan ini kurang menarik. Banyak Sekali lembaga lebih memilih solusi yang lebih fleksibel dan “hedge the credit hedge,” yaitu, terlibat dalam offsetting transaksi derivatif dengan tujuan menghindari MTM volatilitas. Akibatnya, unit BPT memasuki perdagangan proprietary
meja dan wilayah hedge fund. Integrasi counterparty risk dalam Unit BPT daerah lain di mana manfaatnya dapat signifikan karena jaring dari posisi derivatif panjang dan pendek, tetapi bisa menjadi ladang ranjau jika inisiatif ini tidak hati-hati selaras dengan strategi bank.
Buku panduan ini mengevaluasi beberapa pilihan yang harus dipertimbangkan ketika menilai wajar instrumen likuid dan mengelola risiko kredit dari aktivitas perdagangan.
Selanjutnya, buku ini juga menyentuh pada poin yang dibesarkan di subprime baru-baru ini krisis seperti proses pemeringkatan cukup untuk transaksi terstruktur dan ketidakmampuan untuk menemukan tanda yang tepat ke pasar untuk tranche dari kewajiban utang diagunkan. Dengan demikian, buku ini dapat dilihat sebagai persediaan topik yang relevan dalam arena kredit saat ini.
Daftar isi:
FOREWORD xiii
EDITORS xvii
CONTRIBUTORS xix
PART ONE PERFORMANCE MEASUREMENT
Chapter 1 Implementing Credit Portfolio Management 3
Thomas Ridder
Introduction 3
The Levers of Credit Portfolio Management 5
Organization of Credit Portfolio Management 9
Quantitative Methods in Credit Portfolio Management 14
Conclusion 17
References 18
Chapter 2 Credit Portfolio Management: Accounting Implications 21
Christian Burmester
Introduction 22
International Financial Reporting Standards 23
Conclusion 36
Acknowledgments 37
Chapter 3 The New Basel Capital Framework (Basel II) and Its Impact on
Investment Decisions: An Overview 39
Martin Knocinski
Introduction 40
The Basel Accord’s General Principles 40
Selected Amendments in Basel II 43
Regulatory Treatment of Shares in a Fund according to Basel II 56
Outstanding Issues 60
Relevant Developments within Other Fields and Conclusion 62
References 64
Chapter 4 Basel II Expected Loss as a Control Parameter 67 Bernd Appasamy and Uwe Dörr
Introduction 67
Discussion: Use of EL in Risk Management 68
Summary and Outlook 77
Chapter 5 Credit Risk Capital Allocation and Performance Measurement in Banking
Institutions 79
Valerio Potì
Introduction 79
Credit Risk Capital 82
Capital Allocation, Cost of Capital, and Performance Measurement 85
Credit Risk Capital Measurement 87
Final Remarks and Directions for Future Research 90
Acknowledgments 91
References 92
PART TWO EVALUATION OF CREDIT RISK
Chapter 6 Characteristics of Credit Assets and Their Relevance for Credit Asset
Management 99
Stephan Bucher and Jochen von Frowein
Introduction 99
Credit Types 101
Credit Purpose 111
Conclusion 121
References 122
Chapter 7 Default Dependency Modeling: An Introduction to Theory and Application 123
Sabine Bank and Mathias Schwarz
Introduction: Default Dependency 124
Modeling Default Dependencies 125
Measuring Credit Risk of CDOs 135
Conclusion 142
References 143
Chapter 8 A Credit Contagion Model for the Dynamics of the Rating Transitions in a Small-
and Medium-Sized Enterprises Bank Loan Portfolio 145
Antonella Basso and Riccardo Gusso
Introduction 146
Counterparty Risk and Credit Contagion Models 147
Modeling Credit Contagion and Rating Transitions in a Portfolio of Bank Loans 149
Simulation Analysis of Rating Transitions 152
Conclusion 160
References 160
Chapter 9 Copula-Based Credit Rating Model for Evaluating Basket Credit Derivatives 163
Nicolas Papageorgiou, Bruno Rémillard, and Jean-Luc Gardère
Introduction 163
Literature Review 164
The Proposed Model 167
Calibration of the Parameters 170
Estimation Results 173
Pricing Multiname Credit Derivatives 176
Conclusion 179
References 180
Chapter 10 Mark-to-Market Valuation of Illiquid Loans 181
Claas Becker
Introduction 181
Building Liquid Generic Curves 182
Building Illiquid Generic Curves 183
The Loan Pricing Algorithm 189
Back Testing 192
Summary 193
References 193
PART THREE MANAGING CREDIT EXPOSURETIC
Chapter 11 A HolisApproach to Risk Management of Credit Portfolios 197
Christian Burmester
Introduction 197
Portfolio Management in the Context of a Bank’s Management 198
Risk Management of Portfolios 199
Conclusion 208
References 208
Chapter 12 How a Revolution in the Loan Sale Process Transformed the Secondary Market
and Portfolio Management 209
J. Kingsley Greenland II and William F. Looney
Introduction 210
Evolution of the Secondary Whole Loan Market 211
Buyers: Smart, Savvy, and Global 211
Sellers: Originators of All Sizes Join In 212
How Buyers and Sellers Engage Online 214
Better Portfolio Diagnostics 218
Comparing the Two Approaches 220
Conclusion: It’s a New Day for Portfolio Managers 222
Chapter 13 What Drives the Arrangement Timetable of Bank Loan Syndication? 223
Christophe J. Godlewski
Introduction 224
Determinants of Loan Syndication Timetable Arrangement 226
Methodology and Data 234
Results and Discussion 238
Conclusion 241
References 242
Chapter 14 Credit Default Swap and Other Credit Derivatives: Valuation and Application 247
Ralph Karels
Introduction 247
Valuation of Credit Derivatives with Several Underlyings 254
Possible Application and Market Outlook 266
Conclusion 267
References 268
Chapter 15 Loan-Only Credit Default Swaps 271
Moorad Choudhry
Introduction 272
Growth of LCDS 273
Characteristics of LCDS 274
Summary 275
Reference 276
Chapter 16 Definition and Evaluation of Basket Credit Derivatives and Single-Tranche
Collateralized Debt Obligation Swaps 277
Marcus R. W. Martin, Stefan Reitz, and Carsten S. Wehn
Introduction 278
Credit Derivatives on Baskets of Reference Assets 278
Evaluation of Basket Default Swaps and CDOs 283
Quotation by a Single-Factor Model 288
Recent Developments and Models for Evaluating STCDO and Basket Credit Derivatives 296
References 299
Chapter 17 Contingent Credit Portfolio Management: Converting Derivatives Credit
Risk into Market 301
Kai Pohl
Introduction 302
Determining the Credit Valuation Adjustment 302
Application of the CVA 307
Contingent Credit Portfolio Management 317
PART FOUR CREDIT PORTFOLIO TRANSACTIONS
Chapter 18 Strategies of Hedge Funds and Robust Bayesian Portfolio Allocation in Fixed-
Income Markets 325
Roland Füss, Dieter G. Kaiser, and Michael Stein
Introduction 326
Fixed-Income Hedge Fund Strategies 327
A Robust Bayesian Portfolio Optimization Approach 333
Fixed-Income Portfolio Allocation Including Hedge Fund Strategies 338
Conclusion 343
References 345
Chapter 19 Characterization of the iTraxx Indexes and the Role of Credit Index-Linked
Constant Proportion Portfolio Insurances 349
Greg N. Gregoriou and Christian Hoppe
Introduction 349
The iTraxx Index Family 351
Performance Measurement 356
Credit Index-Linked Constant Proportion Portfolio Insurance 361
Conclusion 365
References 366
Chapter 20 Trading the Credit Default Swap Basis: Illustrating Positive and Negative
Basis Arbitrage Trades 369
Moorad Choudhry
Introduction 370
Relative Value and Trading the Basis 370
Factors Influencing the Basis Package 372
Trade Examples 379
Summary 394
References 394
Chapter 21 Securitization of Shipping Loans 397
Christian Kasten and Torsten Seil
Introduction 397
HSH Nordbank’s Rationale for Securitizing Shipping Loans 398
Ocean Star Transaction Structure 398
Cash Flows 401
Loss Determination 402
Ocean Star Portfolio Risk Modeling and Rating Process 402
Investors 407
Conclusion 408
References 408
Chapter 22 How Cheap Is “Zero” Cost Protection? 409
Panayiotis Teklos, Michael Sandigursky, Michael Hampden-Turner, and Matt King
Introduction 410
Contract Mechanics 410
Constructing a Replicating Strategy 411
Major Risks and Sensitivity Analysis 413
Who Might Use It? 419
Conclusion 420
Chapter 23 Managing Country Risk 423
Nandita Reisinger-Chowdhury
Introduction 423
Who Needs to Worry about Sovereign Risk? 424
Why Do We Need Country Risk Management? 424
Country Risk Assessment 426
Sovereign Ratings 437
Setting Country Limits 438
Country Risk Mitigation 439
Conclusion 440
References 441
Chapter 24 Distressed Credit Assets of German Lending Banks 443
Thomas C. Knecht and Michael Blatz
Introduction 444
Conceptual Foundations of Workout Management 446
An Empirical Investigation of Workout Management 452
Conclusion 458
References 459
INDEX 461
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