The Standard & Poor's Guide to Measuring and Managing Credit Risk

About this book

Todays most complete up-to-date reference for controlling credit risk exposure of all types in every environment Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful proven program for understanding and controlling your firms credit risk. Providing hands-on answers on practical topics from capital management to correlations and supporting its theories with up-to-the-minute data and insights this authoritative book examines every key aspect of credit risk including: Determinants of credit risk and pricing/spread implications Quantitative models for moving beyond Altmans Z score to separate good borrowers from bad Key determinants of loss given default and potential links between recovery rates and probabilities of default Measures of dependency including linear correlation and the impact of correlation on portfolio losses A detailed review of five of todays most popular portfolio modelsCreditMetrics CreditPortfolioView Portfolio Risk Tracker CreditRisk and Portfolio Manager How credit risk is reflected in the prices and yields of individual securities How derivatives and securitization instruments can be used to transfer and repackage credit risk Todays credit risk measurement and management tools and techniques provide organizations with dramatically improved strength and flexibility not only in mitigating risk but also in improving overall financial performance. Measuring and Managing Credit Risk introduces and explores each of these tools along with the rapidly evolving global credit environment to provide bankers and other financial decision-makers with the know-how to avoid excessive credit risk where possibleand mitigate it when necessary.