The Handbook of Credit Risk Management, 2nd Edition

The Handbook of Credit Risk Management, 2nd Edition

by Sylvain Bouteille, Diane Coogan-Pushner
Released December 2021
Publisher(s): Wiley
ISBN: 9781119835639

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Book description

Discover an accessible and comprehensive overview of credit risk management

In the newly revised Second Edition of The Handbook of Credit Risk Management: Originating, Assessing, and Managing Credit Exposures, veteran financial risk experts Sylvain Bouteillé and Dr. Diane Coogan-Pushner deliver a holistic roadmap to credit risk management (CRM) ideal for students and the busy professional.

The authors have created an accessible and practical CRM resource consistent with a commonly implemented risk management framework. Divided into four sections—Origination, Credit Assessment, Portfolio Management, and Mitigation and Transfer—the book explains why CRM is critical to the success of large institutions and why organizational structure matters.

The Second Edition of The Handbook of Credit Risk Management also includes:

  • Newly updated and enriched data, charts, and content
  • Three brand new chapters on consumer finance, state and local credit risk, and sovereign risk
  • New ancillary material designed to support higher education and bank credit training educators, including case studies, quizzes, and slides

Perfect for risk managers, corporate treasurers, auditors, and credit risk underwriters, this latest edition of The Handbook of Credit Risk Management will also prove to be an invaluable addition to the libraries of financial analysts, regulators, portfolio managers, and actuaries seeking a comprehensive and up-to-date guide on credit risk management.

Table of contents

  1. Cover
  2. Title Page
  3. Copyright
  4. Dedication
  5. Preface
    1. PART ONE: ORIGINATION
    2. PART TWO: CREDIT ASSESSMENT
    3. PART THREE: PORTFOLIO MANAGEMENT
    4. PART FOUR: MITIGATION AND TRANSFER
  6. Acknowledgments
  7. About the Companion Website
  8. PART One: Origination
    1. CHAPTER 1: Fundamentals of Credit Risk
      1. WHAT IS CREDIT RISK?
      2. TYPES OF TRANSACTIONS THAT CREATE CREDIT RISK
      3. WHO IS EXPOSED TO CREDIT RISK?
      4. WHY MANAGE CREDIT RISK?
      5. NOTES
    2. CHAPTER 2: Governance
      1. GUIDELINES
      2. SKILLS
      3. SETTING LIMITS
      4. OVERSIGHT
      5. FINAL WORDS
      6. NOTES
    3. CHAPTER 3: Checklist for Origination
      1. DOES THE TRANSACTION FIT INTO MY STRATEGY?
      2. DOES THE RISK FIT INTO MY EXISTING PORTFOLIO?
      3. DO I UNDERSTAND THE CREDIT RISK?
      4. DOES THE SELLER KEEP AN INTEREST IN THE DEAL?
      5. ARE THE PROPER MITIGANTS IN PLACE?
      6. IS THE LEGAL DOCUMENTATION SATISFACTORY?
      7. IS THE DEAL PRICED ADEQUATELY?
      8. DO I HAVE THE SKILLS TO MONITOR THE EXPOSURE?
      9. IS THERE AN EXIT STRATEGY?
      10. FINAL WORDS
  9. PART Two: Credit Assessment
    1. CHAPTER 4: Measurement of Credit Risk
      1. EXPOSURE
      2. PROBABILITY OF DEFAULT
      3. THE RECOVERY RATE
      4. THE TENOR
      5. DIRECT VERSUS CONTINGENT EXPOSURE
      6. THE EXPECTED LOSS
      7. NOTE
    2. CHAPTER 5: Dynamic Credit Exposure
      1. LONG‐TERM SUPPLY AGREEMENTS
      2. DERIVATIVE PRODUCTS
      3. THE ECONOMIC VALUE OF A CONTRACT
      4. MARK‐TO‐MARKET VALUATION
      5. VALUE AT RISK (VaR)
    3. CHAPTER 6: Fundamental Credit Analysis
      1. ACCOUNTING BASICS
      2. A TYPICAL CREDIT REPORT
      3. AGENCY CONFLICT, INCENTIVES, AND MERTON'S VIEW OF DEFAULT RISK
      4. FINAL WORDS
      5. NOTES
    4. CHAPTER 7: Alternative Estimations of Credit Quality
      1. THE EVOLUTION OF AN INDICATOR: MOODY'S ANALYTICS EDF™
      2. CREDIT DEFAULT SWAP PRICES
      3. BOND PRICES
      4. FINAL WORDS
      5. NOTE
    5. CHAPTER 8: Consumer Finance
      1. WHAT IS CONSUMER FINANCE?
      2. SEGMENTATION OF CONSUMER FINANCE PRODUCTS
      3. MAJOR FAMILIES OF CONSUMER FINANCE PRODUCTS
      4. ASSESSMENT OF CREDIT QUALITY
      5. DECISIONS BY LENDERS
      6. REGULATORY ENVIRONMENT
      7. NOTE
    6. CHAPTER 9: State and Local Government Credit
      1. STATE AND LOCAL GOVERNMENTS
      2. EXPOSURE TYPES
      3. ASSESSING CREDIT RISK
      4. MANAGING CREDIT RISK
      5. FINAL WORDS
      6. NOTES
    7. CHAPTER 10: Sovereign Credit Risk
      1. SOVEREIGN BORROWERS
      2. TYPES OF SOVEREIGN BONDS
      3. SOVEREIGN DEBT MARKET
      4. CREDIT ANALYSIS
      5. MITIGATION
      6. DEFAULT AND RECOVERY
      7. FINAL WORDS
    8. CHAPTER 11: Securitization
      1. ASSET SECURITIZATION OVERVIEW
      2. THE COLLATERAL
      3. THE ISSUER
      4. THE SECURITIES
      5. MAIN FAMILIES OF ABSs
      6. SECURITIZATION FOR RISK TRANSFER
      7. CREDIT RISK ASSESSMENT OF ABS
      8. WAREHOUSING RISK
      9. FINAL WORDS
      10. NOTE
    9. CHAPTER 12: Collateral Loan Obligations (CLOs)
      1. OVERVIEW OF THE CORPORATE LOAN MARKET
      2. WHAT ARE CLOs?
      3. ARBITRAGE CLOs
      4. BALANCE SHEET CLOs
      5. ABS CDOs
      6. CREDIT ANALYSIS OF CLOs
  10. PART Three: Portfolio Management
    1. CHAPTER 13: Credit Portfolio Management
      1. LEVEL 1
      2. LEVEL 2
      3. LEVEL 3
      4. ORGANIZATIONAL SETUP AND STAFFING
      5. THE IACPM
      6. FINAL WORDS
      7. NOTES
    2. CHAPTER 14: Economic Capital and Credit Value at Risk (CVaR)
      1. CAPITAL: ECONOMIC, REGULATORY, SHAREHOLDER
      2. DEFINING LOSSES: DEFAULT VERSUS MARK‐TO‐MARKET (MTM)
      3. CREDIT VALUE AT RISK OR CVaR
      4. CREATING THE LOSS DISTRIBUTION
      5. ACTIVE PORTFOLIO MANAGEMENT AND CVaR
      6. PRICING
      7. FINAL WORDS
    3. CHAPTER 15: Regulation
      1. DOING BUSINESS WITH A REGULATED ENTITY
      2. DOING BUSINESS AS A REGULATED ENTITY
      3. HOW REGULATION MATTERS: KEY REGULATION DIRECTIVES
      4. FINAL WORDS
      5. NOTES
    4. CHAPTER 16: Accounting Implications of Credit Risk
      1. LOAN IMPAIRMENT
      2. LOAN‐LOSS ACCOUNTING
      3. REGULATORY REQUIREMENTS FOR LOAN‐LOSS RESERVES
      4. IMPAIRMENT OF DEBT SECURITIES
      5. DERECOGNITION OF ASSETS
      6. CONSOLIDATION OF VARIABLE INTEREST ENTITIES (VIEs)
      7. ACCOUNTING FOR NETTING
      8. HEDGE ACCOUNTING
      9. CREDIT VALUATION ADJUSTMENTS, DEBIT VALUATION ADJUSTMENTS, AND OWN CREDIT RISK ADJUSTMENT
      10. IFRS 7
      11. FINAL WORDS
      12. NOTE
  11. PART Four: Mitigation and Transfer
    1. CHAPTER 17: Mitigating Derivative Counterparty Credit Risk
      1. MEASUREMENT OF COUNTERPARTY CREDIT RISK
      2. MITIGATION OF COUNTERPARTY CREDIT RISK THROUGH COLLATERALIZATION
      3. LEGAL DOCUMENTATION
      4. DEALERS VERSUS END USERS
      5. BILATERAL TRANSACTIONS VERSUS CENTRAL COUNTERPARTY CLEARING
      6. PRIME BROKERS
      7. REPURCHASE AGREEMENTS
      8. FINAL WORDS
      9. NOTE
    2. CHAPTER 18: Structural Mitigation
      1. TRANSACTIONS WITH CORPORATES
      2. TRANSACTIONS WITH SPECIAL PURPOSE VEHICLES
    3. CHAPTER 19: Credit Insurance, Surety Bonds, and Letters of Credit
      1. CREDIT INSURANCE
      2. SURETY BONDS
      3. LETTERS OF CREDIT OR LoCs
      4. THE PROVIDERS' POINT OF VIEW
      5. FINAL WORDS
    4. CHAPTER 20: Credit Derivatives
      1. THE PRODUCT
      2. THE SETTLEMENT PROCESS
      3. VALUATION AND ACCOUNTING TREATMENT
      4. USES OF CDSs
      5. CREDIT DEFAULT SWAPS FOR CREDIT AND PRICE DISCOVERY
      6. CREDIT DEFAULT SWAPS AND INSURANCE
      7. INDEXES, LOAN CDSs, MCDSs, AND ABS CDSs
      8. NOTES
    5. CHAPTER 21: Bankruptcy
      1. WHAT IS BANKRUPTCY?
      2. PATTERNS OF BANKRUPT COMPANIES
      3. SIGNALING ACTIONS
      4. EXAMPLES OF BANKRUPTCIES
      5. FINAL WORDS
  12. About the Authors
  13. Index
  14. End User License Agreement

Product information

  • Title: The Handbook of Credit Risk Management, 2nd Edition
  • Author(s): Sylvain Bouteille, Diane Coogan-Pushner
  • Release date: December 2021
  • Publisher(s): Wiley
  • ISBN: 9781119835639