Illustrating mathematical models for structured credit with practical examples, this book presents an introduction to the foundations of structured credit portfolio modeling. It features material on estimation of asset correlations, and benchmark correlations based on securitizations of benchmark portfolios in the market.
Internal ratings-based systems are widely used in banks to calculate their value-at-risk (VAR) in order to determine their capital requirements for loan and bond portfolios under Basel II. This book addresses one aspect of these ratings systems which is credit migrations.
Offers a treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. This book models credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. It is intended as a resource for researchers and students.
Companies need to be increasingly certain that they are minimising their risk and managing their exposures (such as corporate lending) correctly. This title comprises critical analysis and discussion on the methodologies used and implemented by the major rating agencies.
Suitable for practitioners and students, this title provides an introduction to modern credit risk modeling. It provides implementation methods in Excel and Visual Basic for Applications (VBA). It covers default probability estimation (scoring, structural models, and transition matrices), correlation and portfolio analysis, and more.
A guide on how Predictive Analytics is applied and widely used by organizations such as banks, insurance providers, supermarkets and governments to drive the decisions they make about their customers, demonstrating who to target with a promotional offer, who to give a credit card to and the premium someone should pay for home insurance.
In line with the new Basel proposals, banks have to stress-test their assessment of capital adequacy. This book provides guidance for regulators and practitioners with regard to the stress-testing process. It is suitable for financial risk quants, financial risk managers, financial risk researchers and financial institution regulators.
Non-banking financial companies (NBFCs) constitute a heterogeneous lot of privately-owned, small-sized financial intermediaries which provide a variety of services including equipment leasing, hire purchase, loans, investments and chit fund activities. This book provides an account of the functioning of and reforms pertaining to NBFCs in India.
This book presents the state-of-the-art with respect to credit risk evaluation and pricing within the contemporary global banking and financial system. It focuses on credit pricing in illiquid, liquid and hybrid markets. No one with any connection to the credit management business will be able to do without it.
Microfinancing is considered one of the most effective strategies in the fight against global poverty. And now, in Small Loans, Big Changes, author Alex Counts reveals how Nobel Prize Winner Muhammad Yunus revolutionized global antipoverty efforts through the development of this approach.
Predatory Bender covers the nitty-gritty of lives in the consumer finance industry. Salespeople used borrowers and profits flowed to some of the largest banks in the world. The book is a novel with a non-fiction afterward about reforming the industry.
Provides a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. It covers statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation.
Covers developments and innovations in modelling counterparty risk. This title includes topics such as: modelling collateral agreements, the development of conditional pricing methodology, modelling exposures for credit-sensitive instruments, and the pricing of counterparty risk for credit-sensitive instruments.
Credit rating system started in India in 1987 when the first credit rating agency was established in the country, namely The Credit Rating Information Services of India Limited (CRISIL). This book not only examines the practices of credit rating in India but also evaluates the performance of the Indian credit rating agencies themselves.
Presents an overview of subprime mortgage securitisation process as well as the seven key informational frictions that arise. This book discusses the rule amendments that the Commission intends to propose which would reduce undue reliance in the Commission's rules on nationally recognized statistical rating organizations (NRSRO) ratings.
Features real-life insights into the developing area of active credit portfolio management (ACPM). This work provides a discussion of the various organisational frameworks and potential mandates for an ACPM unit, explaining mathematical concepts underlying portfolio management activities.
Demystifies various mortgage terms, features, and options by offering precise explanations. Addressing the realities introduced by the housing crisis of 2007, this title provides a discussion of the issues that may affect you, whether you're a homeowner (or homeowner-to-be), real estate agent, loan provider, or attorney.
The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. This title presents both the top-down and bottom-up approaches for describing the dynamics of credit baskets.
Levy Processes in Credit Risk is an introductory guide to using Levy processes for credit risk modelling, covering all types of credit derivatives: from the single name vanillas such as CDSs right through to structured credit risk products such as CPPIs and CPDOs.
Through chapters on fundamental analysis and credit administration, this title teaches readers how to improve their credit skills and develop logical decision-making processes. It concentrates on the practical implementation of credit engineering strategies and tools.
This work provides a practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management. Topics covered include: default probabilities; expected and unexpected losses; time effects; default correlations; and loss distributions.
Your credit score affects every aspect of your financial life including qualifying for loans and mortgages, low interest rates, housing, employment opportunities, and even insurance premiums. This book shows you how to use your legal rights to increase your credit score. It teaches how to remove questionable items from your credit reports.
In the summer of 2007, the subprime empire that Wall Street had built all came crashing down. This work chronicles this incredible disaster, with a specific focus on the players who participated in such a fundamentally flawed fiasco. It is a story of greed and avarice, one in which many are responsible, but few are willing to admit their mistakes.
Price stability and availability of sufficient credit for productive purposes have all along remained the twin objectives of monetary policy in India. This book deals with various dimensions of monetary and credit management in India, focusing on post-liberalisation (1991 onward) period.
A guide to techniques and developments for managing derivative credit risk. This second edition has been updated, and contains six new chapters on key areas such as the credit risk of credit derivatives, problems of asset allocation, modelling and simulation and credit default swaps.
GMAC is a diversified financial services firm that derives its revenues from automotive finance, where it holds a dominant position, as well as mortgage operations, insurance operations, and commercial finance. This book examines the treatment given GMAC under the TARP.
This text comprises a selection of papers that provide state-of-the-art insights into research focusing on dimensions of bank strategy, governance and the role of credit rating agencies that were presented at the European Association of University Teachers of Banking and Finance Conference, September 2010.
Offers an overview of the sub-prime mortgage securitisation process and the seven key informational frictions that arise. This book discusses the ways that market participants work to minimise these frictions and speculate on how this process broke down.
This book analyses and confronts the functioning of guarantee systems for SMEs in countries where these schemes had an important development. The book also highlights how the current financial crisis is modifying the guarantees schemes, through policy maker interventions.
Combining the views of some of the most prominent thinkers and renowned practitioners in the credit derivatives market, this title's unique encyclopaedic coverage of the sector spans everything from the basics to much more advanced quantitative issues.
Helps you understand several aspects of credit risk, and provides you with techniques and models for identifying, measuring, monitoring, and controlling your organization's credit risk exposure. This book is useful for both academics and risk professionals.
Shows you how to comply with Basel II regulations on credit risk step by step, building on the basics in credit risk up to advanced credit risk methodologies. This book covers hands-on applications, including areas of Basel II banking risk requirements and financial analysis, to risk analysis and real options analysis.
This text explores the vexing problem of housing exclusion and the related financial fallout, which has come into sharp relief since the onset of the housing-led global credit crisis. The book looks at the dimensions of affordable housing finance, compares current policy approaches in the US, UK and Australia, and works towards solutions.
While residential real estate lending has gone soft, commercial lending is hot with a wave of low interest rates and refinancing and it shows no sign of slowing down. Commercial mortgage brokering is one of the best ways to earn money without training. This practical guide helps you learn the basics of brokering from application to closing.