Credit Risk Management

Informationen zum Autor Industrial and Commercial Bank of China (Asia) Limited (ICBC (Asia)) is delighted to sponsor this resource book. ICBC (Asia), the flagship of the Hong Kong banking business of Industrial and Commercial Bank of China Limited (ICBC), currently the world's largest commercial bank by market capitalization, offers a wide range of financial services to corporate and individual customers. The Bank is renowned for its provision of cross-border financial services and RMB-related services. Klappentext The importance of managing credit and credit risks carefully and appropriately cannot be overestimated. The very success or failure of a bank and the banking industry in general may well depend on how credit risk is handled.Banking professionals must be fully versed in the risks associated with credit operations and how to manage those risks. This up-to-date volume is an invaluable reference and study tool that delves deep into issues associated with credit risk management.Credit Risk Management from the Hong Kong Institute of Bankers (HKIB)discusses the various ways through which banks manage risks. Essential for candidates studying for the HKIB Associateship Examination, it can also help those who want to acquire a deeper understanding of how and why banks make decisions and set up processes that lower their risk.Topics covered in this book include:* Active credit portfolio management* Risk management, pricing, and capital adequacy* Capital requirements for banks* Approaches to credit risk management* Structural models and probability of default* Techniques to determine loss given default* Derivatives and structured products Zusammenfassung The importance of managing credit and credit risks carefully and appropriately cannot be overestimated. The very success or failure of a bank and the banking industry in general may well depend on how credit risk is handled.Banking professionals must be fully versed in the risks associated with credit operations and how to manage those risks. This up-to-date volume is an invaluable reference and study tool that delves deep into issues associated with credit risk management.Credit Risk Management from the Hong Kong Institute of Bankers (HKIB)discusses the various ways through which banks manage risks. Essential for candidates studying for the HKIB Associateship Examination! it can also help those who want to acquire a deeper understanding of how and why banks make decisions and set up processes that lower their risk.Topics covered in this book include:* Active credit portfolio management* Risk management! pricing! and capital adequacy* Capital requirements for banks* Approaches to credit risk management* Structural models and probability of default* Techniques to determine loss given default* Derivatives and structured products Inhaltsverzeichnis Preface xi Part 1 The Credit Risk Framework 1 1 Definitions and Concepts 3 Learning Objectives 3 Introduction 4 What is Credit? 4 Evolution of Credit Markets 7 What is Credit Risk? 10 Building Blocks of Portfolio Risk 14 Default 18 Portfolio Performance Metrics 19 Data and Data Systems 21 Risk Control Framework and Governance 22 Summary 22 Key Terms 24 Study Guide 25 Further Reading 25 2 Active Credit Portfolio Management 27 Learning Objectives 27 Introduction 28 What is ACPM? 28 Mark-to-market Approach 30 Metrics for ACPM 35 Data and Models 37 Summary 40 Key Terms 41 Study Guide 41 Further Reading 41 3 Capital Adequacy Framework 43 Learning Objectives 43 Introduction 44 Capital Adequacy Under Basel I 44 Basel II's Three Pillar Approach 49 Basel III (2010) 53 Capital Adequacy in Hong Ko...

List of contents

Preface xi
 
PART 1 THE CREDIT RISK FRAMEWORK 1
 
1 Definitions and Concepts 3
 
Learning Objectives 3
 
Introduction 4
 
What is Credit? 4
 
Evolution of Credit Markets 7
 
What is Credit Risk? 10
 
Building Blocks of Portfolio Risk 14
 
Default 18
 
Portfolio Performance Metrics 19
 
Data and Data Systems 21
 
Risk Control Framework and Governance 22
 
2 Active Credit Portfolio Management 27
 
Learning Objectives 27
 
Introduction 28
 
What is ACPM? 28
 
Mark-to-market Approach 30
 
Metrics for ACPM 35
 
Data and Models 37
 
3 Capital Adequacy Framework 43
 
Learning Objectives 43
 
Introduction 44
 
Capital Adequacy Under Basel I 44
 
Basel II's Three Pillar Approach 49
 
Basel III (2010) 53
 
Capital Adequacy in Hong Kong 54
 
Implementation Issues 55
 
PART 2 CAPITAL REQUIREMENTS ON CREDIT RISK UNDER BASEL 59
 
4 Standardised Approach to Credit Risk 61
 
Learning Objectives 61
 
Introduction 62
 
Standardised Approach to Credit Risk 62
 
Individual Claims 63
 
Credit Risk Mitigation 74
 
Securitization Exposures 84
 
5 Internal Ratings-Based Approach 89
 
Learning Objectives 89
 
Introduction 90
 
What is the IRB Approach? 90
 
Building Blocks of the IRB Approaches 92
 
IRB and Selected Exposures 93
 
Internal Rating System 106
 
Validation of IRB Models 114
 
PART 3 CREDIT RISK AND PORTFOLIO MODELS 123
 
6 Structural Models 125
 
Learning Objectives 125
 
Introduction 126
 
Basic Structural Model 126
 
Black-Scholes-Merton 129
 
Valuation 133
 
Black-Cox 135
 
Vasicek-Kealhofer 140
 
Stochastic Interest Rates 144
 
Endogenous Default Barrier 145
 
Corporate Transaction Analysis 146
 
Liquidity 147
 
Other Structural Approaches 148
 
7 Econometric Models 159
 
Learning Objectives 159
 
Introduction 160
 
Discrete-choice Models 160
 
Hazard Rate (Duration) Models 168
 
Practical Applications 172
 
Calibrating Econometric Models 177
 
Calibrating to Ratings 187
 
Interpreting the Relative Infl uence of Factors in Econometric Models 192
 
Data Issues 194
 
8 Loss Given Default 203
 
Learning Objectives 203
 
Introduction 204
 
Timeline of Default Resolution 204
 
Measures of LGD 206
 
Multifactor Approach to LGD 212
 
Regression Framework 217
 
9 Reduced-form Models 223
 
Learning Objectives 223
 
Introduction 224
 
Reduced-form Models in Context 225
 
Basic Intensity Models 228
 
DSL Framework 237
 
Credit Rating Transition Models 241
 
Default Probability Density Version of Intensity Models 247
 
Generic Credit Curves 253
 
10 PD Model Validation 259
 
Learning Objectives 259
 
Introduction 260
 
Parameter Robustness 260
 
Measures of Model Power 263
 
Measures of PD Levels and Calibration 267
 
Sample Size and Confi dence Bounds 280
 
Assessing the Economic Value of More Powerful PD Models 296
 
Designing Validation Tests 305
 
11 Portfolio Models 315
 
Learning Objectives 315
 
Introduction 316
 
Measuring Portfolio Diversifi cation 316
 
Portfolio Risk Assuming No Credit Mi

Product details

• Authors: Hong Kong Institute of Bankers (Hkib), Hkib, . Hkib, Hong Kong Institute of Bankers (COR), Hong Kong Institute of Bankers (HKIB), Hong Kong Institute of Bankers HKIB, Hong Kong Institute of Bankers(HKIB)
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Paperback / Softback
• Released: 09.04.2012
• EAN: 9780470827499
• ISBN: 978-0-470-82749-9
• No. of pages: 256
• Subjects: Social sciences, law, business > Business > Business administration; Kreditrisiko, Kreditrisikomanagement, Finance & Investments, Finanz- u. Anlagewesen, Spezialthemen Finanz- u. Anlagewesen, Finance & Investments Special Topics, Credit and credit institutions