The Banker's Handbook on Credit Risk

Implementing Basel II

Morton Glantz, Johnathan Mun

• Publisher: Academic Press
• Year: 2008
• Print ISBN: 9780123736666
• eBook ISBN: 9780080570051
• Topic: Business
• Subtopic: Decision Making
• Index: Business

The Banker's Handbook on Credit Risk 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 advanced credit/risk management book takes a "new tools" approach to Basel II implementation. The hands-on applications covered in this book are vast, including areas of Basel II banking risk requirements (credit risk, credit spreads, default risk, value at risk, market risk, and so forth) and financial analysis (exotic options and valuation), to risk analysis (stochastic forecasting, risk-based Monte Carlo simulation, portfolio optimization) and real options analysis (strategic options and decision analysis). This book is targeted at banking practitioners and financial analysts who require the algorithms, examples, models, and insights in solving more advanced and even esoteric problems. The book comes complete with a DVD filled with sample modeling videos, case studies, and software applications to help the reader get started immediately. The various trial software applications included allows the reader to quickly access the approximately 670 modeling functions, 250 analytical model templates, and powerful risk-based simulation software to help in the understanding and learning of the concepts covered in the book, and also to use the embedded functions and algorithms in their own models. In addition, the reader can get started quickly in running risk-based Monte Carlo simulations, run advanced forecasting methods, and perform optimization on a myriad of situations, as well as structure and solve customized real options and financial options problems. - Only book to show bankers step by step how to comply with Basel II regulations on credit risk - Over 150 hands-on software applications included on the DVD accompanying the book, including sample modeling videos - Provides all the latest quantitative tools

Table of contents

• Front cover
• Copyright
• Contents
• Preface
• Chapter 1: Basel II and Principles for the Management of Credit Risk
• Chapter 2: International Financial Reporting Standards and Basel II
• Chapter 3: Decomposing Cash Flow: A Banker’s Primer
• Chapter 4: Step-By-Step in Getting Started with the ModelingToolkit and Risk Simulator Software Applications
• Chapter 5: Analytical Forecasting and Cash Flow Projections
• Chapter 6: Using Risk Simulator Optimization Proceduresand Basel II Modeling Toolkit’s CorporateValuation Model
• Chapter 7: Analytical Techniques for Modeling Probability ofDefault, Loss Given Default, Economic Capital, Valueat Risk, Portfolio Optimization, Hurdle Rates, andRates of Return
• Chapter 8: Portfolio Optimization
• Chapter 9: Loan Pricing and Pricing Model Construction
• Chapter 10: Banker’s Primer on Shareholder Value
• Chapter 11: Banker’s Guide: Valuation Appraisal of Business Clients
• Chapter 12: Constructing Industry-Specifi c Credit Rating Systems
• Chapter 13: Building Integrated Exposure Systems
• Chapter 14: Credit Risk Rating and Debt Analysis (Credit Premiumand Debt Options)
• Chapter 15: Interest Rate Risk, Foreign Exchange Risk, VolatilityEstimation, Risk Hedging, Yield Curve Forecasting, andAdvanced Forecasting Techniques
• Chapter 16: Exotic Options and Credit Derivatives
• Appendix 1: Getting Started with Real Options SLS Software
• Appendix 2: Measuring Default Probability: A Practical Approach
• Appendix 3: Server Based Applications for Running Data Intensive
• Index