McGraw-Hill, 2009. — 505 p. — ISBN: 007164296X, 0071598340, 9780071642965As the credit bubble fallout plagues the institutional finance sector-and will continue to do so in coming years-a strategic approach to credit portfolio management has never been more critical. The Handbook of Credit Portfolio Management provides all the information you'll need to successfully rebalance and manage your credit portfolios.
Together with co-author Christian Hoppe and a team of thirty-five international contributors, Greg N. Gregoriou provides strategies for calculating risk-weighted assets, reevaluating hedging strategies, and implementing Basel II standards. Providing a thoroughly global perspective of the subject, this comprehensive guide includes input from Moorad Choudhry (Group Head of Treasury at Europe Arab Bank plc, London); Christophe Godlewski (Universit Louis Pasteur in Strasbourg, France); Roland Fuss (University of Freiburg, Germany); and Valerio Pot (Trinity College in Dublin, Ireland), who shed light on such key topics as:
Investment opportunities of hedge funds
Basis arbitrage trading strategies
Issues regarding securitization of a sector basket
Cost-saving aspects of portfolio hedging with credit futures
The Handbook of Credit Portfolio Management covers the latest developments and most current portfolio management techniques to help you implement strategies that best suit your institution's needs.Contents
Performance Measurement
Implementing Credit Portfolio Management
Credit Portfolio Management under IFRS Accounting
Basel II Framework and the Impact of a New Regulatory Universe on Credit Asset Management
Basel II Expected Loss in Credit Risk Management
Credit Risk Capital Allocation and Performance Measurement
Evaluation of Credit Risk
Characteristics of Credit Assets and relevance for Credit Portfolio Management
Measuring Credit Risk with Emphasis on CDOs
Model for the Rating Transitions in a SME Bank Loan Portfolio
Cost-to-Securitize as a Transfer Pricing Instrument
Mark-to-Market Pricing of Illiquid Loans
Managing Credit Exposure
A New Age of Liquidity for Bank Debt: Reshaping Loan Portfolio Management
Bank Loan Syndication
CDS and other Credit Derivatives – Valuation and Application
Evaluation of Basket Credit Derivatives and STCDO Swaps
Classification and Characterization of CDS-Indices
Converting Derivatives Credit Risk Into Market RiskSection Four: Credit Portfolio Transactions
The Strategies of Hedge Funds in Fixed Income Markets
Trading CDS: Illustrating Positive and Negative Basis Arbitrage
Securitisation of Shipping Loans
Legal Issues in Securitizing Risky Loans
"How cheap is zero cost protection"
Managing Country Risk
The Role of Credit Banks in Corporate Workout-Management
Index
