Managing Credit Risk: The Great Challenge for Global Financial Markets, 2nd Edition

About the Authors xi

Introduction xv

Chapter 1 Credit Risk: The Great Challenge For The Global Economy 1

Chapter 2 Credit Culture 23

Chapter 3 Classic Industry Players: Banks, Savings Institutions, Insurance: Companies, Finance Companies, and Special Purpose Entities 41

Chapter 4 The Portfolio Managers: Investment Managers, Mutual Funds, Pension Funds, and Hedge Funds 59

Chapter 5 Structural Hubs: Clearinghouses, Derivative Product Companies, and Exchanges 69

Chapter 6 The Rating Agencies 81

Chapter 7 Classic Credit Analysis 103

Chapter 8 Asset-Based Lending and Lease Finance 117

Chapter 9 Introduction to Credit Risk Models 127

Chapter 10 Credit Risk Models Based upon Accounting Data and Market Values 139

Chapter 11 Corporate Credit Risk Models Based on Stock Price 181

Chapter 12 Consumer Finance Models 201

Chapter 13 Credit Models for Small Business, Real Estate, and Financial Institutions 223

Chapter 14 Testing and Implementation of Credit Risk Models 237

Chapter 15 About Corporate Default Rates 251

Chapter 16 Default Recovery Rates and LGD in Credit Risk Modeling and Practice 277

Chapter 17 Credit Risk Migration 311

Chapter 18 Introduction to Portfolio Approaches 325

Chapter 19 Economic Capital and Capital Allocation 349

Chapter 20 Application of Portfolio Approaches 367

Chapter 21 Credit Derivatives 411

Chapter 22 Counterparty Risk 437

Chapter 23 Country Risk Models 455

Chapter 24 Structured Finance 475

Chapter 25 New Markets, New Players, New Ways to Play 509

Chapter 26 Market Chaos and a Reversion to the Mean: The Rediscovery of Culture as a Critical Risk Management Tool 539

Notes 553

Appendix 569

Index 607