{"product_id":"credit-risk-management-isbn-9780470827499","title":"Credit Risk Management","description":"\u003cp\u003eThe importance of managing credit and credit risks carefully and appropriately cannot be overestimated. The very success or failure of a bank and the banking industry in general may well depend on how credit risk is handled.\u003c\/p\u003e \u003cp\u003eBanking professionals must be fully versed in the risks associated with credit operations and how to manage those risks. This up-to-date volume is an invaluable reference and study tool that delves deep into issues associated with credit risk management.\u003c\/p\u003e \u003cp\u003e\u003ci\u003eCredit Risk Management\u003c\/i\u003e from the \u003cb\u003eHong Kong Institute of Bankers\u003c\/b\u003e (HKIB)discusses the various ways through which banks manage risks. Essential for candidates studying for the \u003cb\u003eHKIB Associateship Examination,\u003c\/b\u003e it can also help those who want to acquire a deeper understanding of how and why banks make decisions and set up processes that lower their risk.\u003c\/p\u003e \u003cp\u003eTopics covered in this book include:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eActive credit portfolio management\u003c\/li\u003e \u003cli\u003eRisk management, pricing, and capital adequacy\u003c\/li\u003e \u003cli\u003eCapital requirements for banks\u003c\/li\u003e \u003cli\u003eApproaches to credit risk management\u003c\/li\u003e \u003cli\u003eStructural models and probability of default\u003c\/li\u003e \u003cli\u003eTechniques to determine loss given default\u003c\/li\u003e \u003cli\u003eDerivatives and structured products\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003ePreface xi\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart 1 The Credit Risk Framework 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Definitions and Concepts 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLearning Objectives 3\u003c\/p\u003e \u003cp\u003eIntroduction 4\u003c\/p\u003e \u003cp\u003eWhat is Credit? 4\u003c\/p\u003e \u003cp\u003eEvolution of Credit Markets 7\u003c\/p\u003e \u003cp\u003eWhat is Credit Risk? 10\u003c\/p\u003e \u003cp\u003eBuilding Blocks of Portfolio Risk 14\u003c\/p\u003e \u003cp\u003eDefault 18\u003c\/p\u003e \u003cp\u003ePortfolio Performance Metrics 19\u003c\/p\u003e \u003cp\u003eData and Data Systems 21\u003c\/p\u003e \u003cp\u003eRisk Control Framework and Governance 22\u003c\/p\u003e \u003cp\u003eSummary 22\u003c\/p\u003e \u003cp\u003eKey Terms 24\u003c\/p\u003e \u003cp\u003eStudy Guide 25\u003c\/p\u003e \u003cp\u003eFurther Reading 25\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Active Credit Portfolio Management 27\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLearning Objectives 27\u003c\/p\u003e \u003cp\u003eIntroduction 28\u003c\/p\u003e \u003cp\u003eWhat is ACPM? 28\u003c\/p\u003e \u003cp\u003eMark-to-market Approach 30\u003c\/p\u003e \u003cp\u003eMetrics for ACPM 35\u003c\/p\u003e \u003cp\u003eData and Models 37\u003c\/p\u003e \u003cp\u003eSummary 40\u003c\/p\u003e \u003cp\u003eKey Terms 41\u003c\/p\u003e \u003cp\u003eStudy Guide 41\u003c\/p\u003e \u003cp\u003eFurther Reading 41\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Capital Adequacy Framework 43\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLearning Objectives 43\u003c\/p\u003e \u003cp\u003eIntroduction 44\u003c\/p\u003e \u003cp\u003eCapital Adequacy Under Basel I 44\u003c\/p\u003e \u003cp\u003eBasel II’s Three Pillar Approach 49\u003c\/p\u003e \u003cp\u003eBasel III (2010) 53\u003c\/p\u003e \u003cp\u003eCapital Adequacy in Hong Kong 54\u003c\/p\u003e \u003cp\u003eImplementation Issues 55\u003c\/p\u003e \u003cp\u003eSummary 56\u003c\/p\u003e \u003cp\u003eKey Terms 57\u003c\/p\u003e \u003cp\u003eStudy Guide 57\u003c\/p\u003e \u003cp\u003eFurther Reading 58\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart 2 Capital Requirements on Credit Risk Under Basel 59\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Standardised Approach to Credit Risk 61\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLearning Objectives 61\u003c\/p\u003e \u003cp\u003eIntroduction 62\u003c\/p\u003e \u003cp\u003eStandardised Approach to Credit Risk 62\u003c\/p\u003e \u003cp\u003eIndividual Claims 63\u003c\/p\u003e \u003cp\u003eCredit Risk Mitigation 74\u003c\/p\u003e \u003cp\u003eSecuritization Exposures 84\u003c\/p\u003e \u003cp\u003eSummary 86\u003c\/p\u003e \u003cp\u003eKey Terms 87\u003c\/p\u003e \u003cp\u003eStudy Guide 88\u003c\/p\u003e \u003cp\u003eFurther Reading 88\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Internal Ratings-Based Approach 89\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLearning Objectives 89\u003c\/p\u003e \u003cp\u003eIntroduction 90\u003c\/p\u003e \u003cp\u003eWhat is the IRB Approach? 90\u003c\/p\u003e \u003cp\u003eBuilding Blocks of the IRB Approaches 92\u003c\/p\u003e \u003cp\u003eIRB and Selected Exposures 93\u003c\/p\u003e \u003cp\u003eInternal Rating System 106\u003c\/p\u003e \u003cp\u003eValidation of IRB Models 114\u003c\/p\u003e \u003cp\u003eSummary 119\u003c\/p\u003e \u003cp\u003eKey Terms 120\u003c\/p\u003e \u003cp\u003eStudy Guide 121\u003c\/p\u003e \u003cp\u003eFurther Reading 121\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart 3 Credit Risk and Portfolio Models 123\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Structural Models 125\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLearning Objectives 125\u003c\/p\u003e \u003cp\u003eIntroduction 126\u003c\/p\u003e \u003cp\u003eBasic Structural Model 126\u003c\/p\u003e \u003cp\u003eBlack-Scholes-Merton 129\u003c\/p\u003e \u003cp\u003eValuation 133\u003c\/p\u003e \u003cp\u003eBlack-Cox 135\u003c\/p\u003e \u003cp\u003eVasicek-Kealhofer 140\u003c\/p\u003e \u003cp\u003eStochastic Interest Rates 144\u003c\/p\u003e \u003cp\u003eEndogenous Default Barrier 145\u003c\/p\u003e \u003cp\u003eCorporate Transaction Analysis 146\u003c\/p\u003e \u003cp\u003eLiquidity 147\u003c\/p\u003e \u003cp\u003eOther Structural Approaches 148\u003c\/p\u003e \u003cp\u003eSummary 155\u003c\/p\u003e \u003cp\u003eKey Terms 157\u003c\/p\u003e \u003cp\u003eStudy Guide 157\u003c\/p\u003e \u003cp\u003eFurther Reading 158\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Econometric Models 159\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLearning Objectives 159\u003c\/p\u003e \u003cp\u003eIntroduction 160\u003c\/p\u003e \u003cp\u003eDiscrete-choice Models 160\u003c\/p\u003e \u003cp\u003eHazard Rate (Duration) Models 168\u003c\/p\u003e \u003cp\u003ePractical Applications 172\u003c\/p\u003e \u003cp\u003eCalibrating Econometric Models 177\u003c\/p\u003e \u003cp\u003eCalibrating to Ratings 187\u003c\/p\u003e \u003cp\u003eInterpreting the Relative Influence of Factors in Econometric Models 192\u003c\/p\u003e \u003cp\u003eData Issues 194\u003c\/p\u003e \u003cp\u003eSummary 199\u003c\/p\u003e \u003cp\u003eKey Terms 200\u003c\/p\u003e \u003cp\u003eStudy Guide 200\u003c\/p\u003e \u003cp\u003eFurther Reading 201\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Loss Given Default 203\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLearning Objectives 203\u003c\/p\u003e \u003cp\u003eIntroduction 204\u003c\/p\u003e \u003cp\u003eTimeline of Default Resolution 204\u003c\/p\u003e \u003cp\u003eMeasures of LGD 206\u003c\/p\u003e \u003cp\u003eMultifactor Approach to LGD 212\u003c\/p\u003e \u003cp\u003eRegression Framework 217\u003c\/p\u003e \u003cp\u003eSummary 219\u003c\/p\u003e \u003cp\u003eKey Terms 220\u003c\/p\u003e \u003cp\u003eStudy Guide 221\u003c\/p\u003e \u003cp\u003eFurther Reading 221\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Reduced-form Models 223\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLearning Objectives 223\u003c\/p\u003e \u003cp\u003eIntroduction 224\u003c\/p\u003e \u003cp\u003eReduced-form Models in Context 225\u003c\/p\u003e \u003cp\u003eBasic Intensity Models 228\u003c\/p\u003e \u003cp\u003eDSL Framework 237\u003c\/p\u003e \u003cp\u003eCredit Rating Transition Models 241\u003c\/p\u003e \u003cp\u003eDefault Probability Density Version of Intensity Models 247\u003c\/p\u003e \u003cp\u003eGeneric Credit Curves 253\u003c\/p\u003e \u003cp\u003eSummary 255\u003c\/p\u003e \u003cp\u003eKey Terms 256\u003c\/p\u003e \u003cp\u003eStudy Guide 257\u003c\/p\u003e \u003cp\u003eFurther Reading 257\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 PD Model Validation 259\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLearning Objectives 259\u003c\/p\u003e \u003cp\u003eIntroduction 260\u003c\/p\u003e \u003cp\u003eParameter Robustness 260\u003c\/p\u003e \u003cp\u003eMeasures of Model Power 263\u003c\/p\u003e \u003cp\u003eMeasures of PD Levels and Calibration 267\u003c\/p\u003e \u003cp\u003eSample Size and Confidence Bounds 280\u003c\/p\u003e \u003cp\u003eAssessing the Economic Value of More Powerful PD Models 296\u003c\/p\u003e \u003cp\u003eDesigning Validation Tests 305\u003c\/p\u003e \u003cp\u003eSummary 310\u003c\/p\u003e \u003cp\u003eKey Terms 311\u003c\/p\u003e \u003cp\u003eStudy Guide 312\u003c\/p\u003e \u003cp\u003eFurther Reading 313\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Portfolio Models 315\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLearning Objectives 315\u003c\/p\u003e \u003cp\u003eIntroduction 316\u003c\/p\u003e \u003cp\u003eMeasuring Portfolio Diversification 316\u003c\/p\u003e \u003cp\u003ePortfolio Risk Assuming No Credit Migration 317\u003c\/p\u003e \u003cp\u003eStructural Models of Default Correlation 319\u003c\/p\u003e \u003cp\u003eCredit Migration 323\u003c\/p\u003e \u003cp\u003eModel of Value Correlation 325\u003c\/p\u003e \u003cp\u003eProbability of Large Losses 329\u003c\/p\u003e \u003cp\u003eValuation 332\u003c\/p\u003e \u003cp\u003eReturn Calculations 334\u003c\/p\u003e \u003cp\u003eRisk Calculations 337\u003c\/p\u003e \u003cp\u003ePortfolio Loss Distribution 343\u003c\/p\u003e \u003cp\u003eCapital 355\u003c\/p\u003e \u003cp\u003eEconomic Capital and Portfolio Management 358\u003c\/p\u003e \u003cp\u003eImproving Portfolio Performance 361\u003c\/p\u003e \u003cp\u003ePerformance Metrics 364\u003c\/p\u003e \u003cp\u003eReduced-form Models and Portfolio Modelling 368\u003c\/p\u003e \u003cp\u003eCorrelation in Intensity Models 369\u003c\/p\u003e \u003cp\u003eCopulas 371\u003c\/p\u003e \u003cp\u003eIntegrating Market and Credit Risk 373\u003c\/p\u003e \u003cp\u003eCounterparty Risk in CDS and Credit Portfolios 374\u003c\/p\u003e \u003cp\u003eStress-testing 376\u003c\/p\u003e \u003cp\u003eSummary 379\u003c\/p\u003e \u003cp\u003eKey Terms 380\u003c\/p\u003e \u003cp\u003eStudy Guide 381\u003c\/p\u003e \u003cp\u003eFurther Reading 381\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart 4 Credit Derivatives and Structured Credit Products 383\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Credit Derivatives 385\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLearning Objectives 385\u003c\/p\u003e \u003cp\u003eIntroduction 386\u003c\/p\u003e \u003cp\u003eWhat are Credit Derivatives? 386\u003c\/p\u003e \u003cp\u003eCredit Default Swap 389\u003c\/p\u003e \u003cp\u003eTotal Return Swaps 393\u003c\/p\u003e \u003cp\u003eCredit-linked Notes 398\u003c\/p\u003e \u003cp\u003eCredit Spread Derivatives 399\u003c\/p\u003e \u003cp\u003ePricing Credit Derivatives 401\u003c\/p\u003e \u003cp\u003eSummary 412\u003c\/p\u003e \u003cp\u003eKey Terms 413\u003c\/p\u003e \u003cp\u003eStudy Guide 413\u003c\/p\u003e \u003cp\u003eFurther Reading 414\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Structured Credit Products 415\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLearning Objectives 415\u003c\/p\u003e \u003cp\u003eIntroduction 416\u003c\/p\u003e \u003cp\u003eSecuritisation 416\u003c\/p\u003e \u003cp\u003eAsset Backed Security 423\u003c\/p\u003e \u003cp\u003eCollateralised Debt Obligation 424\u003c\/p\u003e \u003cp\u003eCapital Charge Requirements 427\u003c\/p\u003e \u003cp\u003eDerivatives and Structured Credit as Risk Management Tools 428\u003c\/p\u003e \u003cp\u003eSummary 430\u003c\/p\u003e \u003cp\u003eKey Terms 431\u003c\/p\u003e \u003cp\u003eStudy Guide 431\u003c\/p\u003e \u003cp\u003eFurther Reading 431\u003c\/p\u003e \u003cp\u003eIndex 433\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIndustrial and Commercial Bank of China (Asia) Limited (ICBC (Asia))\u003c\/b\u003e is delighted to sponsor this resource book. ICBC (Asia), the flagship of the Hong Kong banking business of Industrial and Commercial Bank of China Limited (ICBC), currently the world's largest commercial bank by market capitalization, offers a wide range of financial services to corporate and individual customers. The Bank is renowned for its provision of cross-border financial services and RMB-related services.\u003c\/p\u003e  \u003cp\u003eThe importance of managing credit and credit risks carefully and appropriately cannot be overestimated. The very success or failure of a bank and the banking industry in general may well depend on how credit risk is handled.\u003c\/p\u003e \u003cp\u003eBanking professionals must be fully versed in the risks associated with credit operations and how to manage those risks. This up-to-date volume is an invaluable reference and study tool that delves deep into issues associated with credit risk management.\u003c\/p\u003e \u003cp\u003e\u003ci\u003eCredit Risk Management\u003c\/i\u003e from the \u003cb\u003eHong Kong Institute of Bankers\u003c\/b\u003e (HKIB)discusses the various ways through which banks manage risks. Essential for candidates studying for the \u003cb\u003eHKIB Associateship Examination,\u003c\/b\u003e it can also help those who want to acquire a deeper understanding of how and why banks make decisions and set up processes that lower their risk.\u003c\/p\u003e \u003cp\u003eTopics covered in this book include:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eActive credit portfolio management\u003c\/li\u003e \u003cli\u003eRisk management, pricing, and capital adequacy\u003c\/li\u003e \u003cli\u003eCapital requirements for banks\u003c\/li\u003e \u003cli\u003eApproaches to credit risk management\u003c\/li\u003e \u003cli\u003eStructural models and probability of default\u003c\/li\u003e \u003cli\u003eTechniques to determine loss given default\u003c\/li\u003e \u003cli\u003eDerivatives and structured products\u003c\/li\u003e \u003c\/ul\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989004009701,"sku":"NP9780470827499","price":63.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470827499.jpg?v=1761782394","url":"https:\/\/k12savings.com\/products\/credit-risk-management-isbn-9780470827499","provider":"K12savings","version":"1.0","type":"link"}