书名：Credit Risk From Transaction to Portfolio Management

作者：Andrew Kimber

出版社：Elsevier Butterworth-Heinemann

时间：2004年

大小：2.85M 270页

格式：PDF

内容：1 FIXED INCOME CREDIT 1
1.1 The credit product 1
1.2 Government bonds and credit 3
1.3 Benchmarks for credit 6
1.4 Corporate bonds 8
1.5 Floating-rate notes 16
1.6 Credit related instruments 18
1.7 Asset-backed securities 26
1.8 International bonds 30
1.9 Commercial paper 39
1.10 High yield bonds 41
1.11 Credit risk 44
1.12 Risk management of fixed income portfolios 54
1.13 Credit Metrics™ 66
1.14 Credit Indices 70
1.15 Optimizers 76
1.16 Vasicek-Kealhofer EDF model 79
1.17 Rating agencies 84
2 THE LOAN PORTFOLIO 89
2.1 What is loan portfolio management? 89
2.2 The loan market 90
2.3 Definitions 92
2.4 Relative value analysis 94
2.5 Term sheet of a loan 95
2.6 The syndication process 95
2.7 Pricing within a commercial bank 102
2.8 Loan ratings 105
2.9 Risk management 107
2.10 Approaches to management 109
2.11 Economic vs. regulatory capital 111
2.12 CAR 113
2.13 Loan case studies 116
2.14 Concentration management 124
2.15 Hedging techniques 125
2.16 Central themes 128
3 CREDIT DERIVATIVES 139
3.1 Introduction 139
3.2 Why use credit derivatives? 141
3.3 Definition of a credit event 142
3.4 Credit default swap 143
3.5 Total return swap 145
3.6 Securitization overview 149
3.7 Dynamic credit swaps 156
3.8 Credit options 158
3.9 Credit linked note 160
3.10 First to default 160
3.11 The default swap basis 162
3.12 Pricing 166
3.13 Source of pricing 168
3.14 Pricing examples 172
3.15 Regulatory environment 174
3.16 Terminology 177
4 SECURITIZATION 181
4.1 Asset-backed securities 181
4.2 Mortgage-backed securities 184
4.3 Auto and loan-backed securities 187
4.4 Collateral analysis 189
4.5 Analysis of securities 193
4.6 The importance of credit derivatives 196
4.7 Collateralized debt obligations 200
4.8 CDO asset types 203
4.9 Credit enhancement 205
4.10 Detailed evaluation of asset backing and enhancement 209
4.11 Investor analysis 214
vi Contents
5 THE CREDIT RISK OF INTEREST RATE PRODUCTS 219
5.1 Introduction 219
5.2 Exposures 220
5.3 FRN analysis 225
5.4 Swap 230
6 THE FUNDAMENTALS OF CREDIT 233
6.1 The standalone loan 233
6.2 Standard measures 236
6.3 A portfolio as a set of standalones 237
6.4 Introducing correlation 240
6.5 Other approaches to default 244
6.6 Copulas 246
6.7 Moody’s diversity score 247
6.8 MKMV RiskCalc 248
Index 251
Contents vii

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