Managing credit risk : the great challenge for global financial markets /
John B. Caouette ... [et al.].
- 2nd ed.
- Hoboken, N.J. : Wiley, c2008.
- xxvi, 627 p. : ill. ; 24 cm.
- Wiley finance series .
Rev. ed. of: Managing credit risk / John B. Caouette, Edward I. Altman, Paul Narayanan. c1998.
Includes bibliographical references and index.
Credit risk: the great challenge for the global economy -- Credit culture -- Classic industry players: banks, savings institutions, insurance: companies, finance companies, and special purpose entities -- The portfolio managers: investment managers, mutual funds, pension funds, and hedge funds -- Structural hubs: clearinghouses, derivative product companies, and exchanges -- The rating agencies -- Classic credit analysis -- Asset-based lending and lease finance -- Introduction to credit risk models -- Credit risk models based upon accounting data and market values -- Corporate credit risk models based on stock price -- Consumer finance models -- Credit models for small business, real estate, and financial institutions -- Testing and implementation of credit risk models -- About corporate default rates -- Default recovery rates and LGD in credit risk modeling and practice -- Credit risk migration -- Introduction to portfolio approaches -- Economic capital and capital allocation -- Application of portfolio approaches -- Credit derivatives -- Counterparty risk -- Country risk models -- Structured finance -- New markets, new players, new ways to play -- Market chaos and a reversion to the mean: the rediscovery of culture as a credit risk management tool.