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eISBN : 9780071642965

Sommaire : Contents

Foreword
Editors
Contributors : Bernd Appasamy, Sabine Bank, Antonella Basso, Claas Becker, Michael Blatz, Stephan Bucher, Christian Burmester, Moorad Choudhry, Uwe Dörr, Roland Füss, Jean-Luc Gardère, Christophe J. Godlewski, J. Kingsley Greenland II, Riccardo Gusso,Michael Hampden-Turner, Dieter G. Kaiser, Ralph Karels, Christian Kasten, Matt King, Thomas C. Knecht, Martin Knocinski,William F. Looney, Marcus Martin, Nicolas Papageorgiou, Kai Pohl,Valerio Poti, Nandita Reisinger-Chowdhury,Stefan Reitz, Bruno Rémillard, Thomas Ridder, Michael Sandigursky, Mathias Schwarz, Torsten Seil, Michael Stein, Panayiotis Teklos,Jochen von Frowein, Carsten S. When.

Part One: Performance Measurement

Chapter 1 Implementing Credit Portfolio Management
Chapter 2 Credit Portfolio Management: Accounting Implications
Chapter 3 The New Basel Capital Framework (Basel II) and Its Impact on Investment Decisions: An Overview
Chapter 4 Basel II Expected Loss as a Control Parameter
Chapter 5 Credit Risk Capital Allocation and Performance Measurement in Banking Institutions

Part Two: Evaluation of Credit Risk

Chapter 6 Characteristics of Credit Assets and Their Relevance for Credit Asset Management
Chapter 7 Default Dependency Modeling: An Introduction to Theory and Application
Chapter 8 A Credit Contagion Model for the Dynamics of the Rating Transitions in a Small- and Medium-Sized Enterprises Bank Loan Portfolio
Chapter 9 Copula-Based Credit Rating Model for Evaluating Basket Credit Derivatives
Chapter 10 Mark-to-Market Valuation of Illiquid Loans

Part Three: Managing Credit Exposure

Chapter 11 A Holistic Approach to Risk Management of Credit Portfolios
Chapter 12 How a Revolution in the Loan Sale Process Transformed the Secondary Market and Portfolio Management
Chapter 13 What Drives the Arrangement Timetable of Bank Loan Syndication?
Chapter 14 Credit Default Swap and Other Credit Derivatives: Valuation and Application
Chapter 15 Loan-Only Credit Default Swaps
Chapter 16 Definition and Evaluation of Basket Credit Derivatives and Single-Tranche Collateralized Debt Obligation Swaps
Chapter 17 Contingent Credit Portfolio Management: Converting Derivatives Credit Risk into Market

Part Four: Credit Portfolio Transactions

Chapter 18 Strategies of Hedge Funds and Robust Bayesian Portfolio Allocation in Fixed-Income Markets
Chapter 19 Characterization of the iTraxx Indexes and the Role of Credit Index-Linked Constant Proportion Portfolio Insurances
Chapter 20 Trading the Credit Default Swap Basis: Illustrating Positive and Negative Basis Arbitrage Trades
Chapter 21 Securitization of Shipping Loans
Chapter 22 How Cheap Is "Zero" Cost Protection?
Chapter 23 Managing Country Risk
Chapter 24 Distressed Credit Assets of German Lending Banks

Conclusion
References
Index

Langue : Anglais

Lieu d'édition : QUEBEC

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque