ISBN 13 : 978-0470478349

Sommaire : Contents


Part 1. Bubbles and Crises : The Global Financial Crisis of 2007-2009.

1. Setting the Stage for Financial Meltdown.
Introduction.
The Changing Nature of Banking.
Reengineering Financial Institutions and Markets.

2. The Three Phases of the Credit Crisis.
Introduction.
Bursting of the Credit Bubble.
Phase 1 : Credit Crisis in the Mortgage Market.
Phase 2 : The Crisis Spreads - Liquidity Risk.
Phase 3 : The Lehman Failure - Underwriting and Political Intervention Risk.

3. The Crisis and Regulatory Failure.
Introduction.
Crisis Intervention.
Looking Forward : Restructuring Plans.

Part 2. Probability of Default Estimation.

4. Loans as Options : The Moody's KMV Model.
Introduction.
The Link between Loans and Options.
TheMoody's KMV Model.
Testing the Accuracy of EDFTM Scores.
Critiques of Moody's KMV EDFTM Scores.

5. Reduced Form Models : Kamakura's Risk Manager.
Introduction.
Deriving Risk-Neutral Probabilities of Default.
Generalizing the Discrete Model of Risky Debt Pricing.
The Loss Intensity Process.
Kamakura's Risk Information Services (KRIS).
Determinants of Bond Spreads.

6. Other Credit Risk Models.
Introduction.
Credit Scoring Systems.
Mortality Rate Systems.
Artificial Neural Networks.
Comparison of Default Probability Estimation Models.

Part 3. Estimation of Other Model Parameters.

7. A Critical Parameter : Loss Given Default.
Introduction.
Academic Models of LGD.
Disentangling LGD and PD.
Moody's KMV's Approach to LGD Estimation.
Kamakura's Approach to LGD Estimation.

8. The Credit Risk of Portfolios and Correlations.
Introduction.
Modern Portfolio Theory (MPT): An Overview.
Applying MPT to Nontraded Bonds and Loans.
Estimating Correlations across Nontraded Assets.
Moody's KMV's Portfolio Manager.
Kamakura and Other Reduced Form Models.

Part 4. Putting the Parameters Together.

9. The VAR Approach : CreditMetrics and Other Models.
Introduction.
The Concept of Value at Risk.
Capital Requirements.
Technical Issues and Problems.
The Portfolio Approach in CreditMetrics.

10. Stress Testing Credit Risk Models : Algorithmics Mark-to-Future.
Introduction.
Back-Testing Credit Risk Models.
Using the Algorithmics Mark-to-Future Model.
Stress Testing U.S. Banks in 2009.

11. RAROC Models.
Introduction.
What Is RAROC ?
RAROC, ROA, and RORAC.
Alternative Forms of RAROC.
The RAROC Denominator and Correlations.
RAROC and EVA.

Part 5. Credit Risk Transfer Mechanisms.

12. Credit Derivatives.
Introduction.
Credit Default Swaps.
Credit Securitizations.
Financial Firms' Use of Credit Derivatives.
CDS Spreads and Rating Agency Rating Systems.

13. Capital Regulation.
Introduction.
The 2006 Basel II Plan.

Langue : Anglais

Collection : FINANCE

Edition : 3ème

Lieu d'édition : TORONTO

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque