Logotipo librería Marcial Pons
Credit portfolio management

Credit portfolio management
a practitioner's guide to the active management of credit risks

  • ISBN: 9780230391499
  • Editorial: Palgrave MacMillan
  • Lugar de la edición: London. Reino Unido
  • Colección: Global Financial Markets
  • Encuadernación: Cartoné
  • Medidas: 23 cm
  • Nº Pág.: 252
  • Idiomas: Inglés

Papel: Cartoné
93,44 €
Sin Stock. Disponible en 5/6 semanas.

Resumen

Credit Portfolio Management is an excellent book on the modern credit value chain of banks. With the banking industry in general overhaul and credit business at the core of it, this book provides a timely and practical guidance on how to successfully manage a credit portfolio in light of a challenging market environment and increased regulatory scrutiny. A focus is placed on the development of a risk strategy with corresponding risk limits and stress tests. This book outlines the key ingredients of fit for purpose business models for Active Credit Portfolio Management. Ever more important regulatory and accounting aspects of hedging are discussed and solutions provided for the accounting mismatch arising from hedging loans with credit derivatives. The author delves deep into the mechanics of Credit Default Swaps, using case studies such as the Greek default event to uncover built in flaws of this most frequently used product for credit risk mitigation. Other hedge instruments and strategies, including sub-participations, swaptions, baskets, tranches, and macro hedges, are explained in detail. The book concludes with a very topical discussion on bank regulatory capital optimization through credit risk transfer techniques.

Resumen

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