Wiley-VCH - Smithson, Charles - Credit Portfolio Management

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Smithson, Charles Credit Portfolio Management Wiley Finance Editions 1. Edition March 2003 77.90 Euro 2003. 352 Pages, Hardcover - Handbook/Reference Book - ISBN 978-0-471-32415-7 - John Wiley & Sons	Sample Chapter
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Short description Credit Portfolio Managementis a cutting-edge book on credit risk. This definitive guide discusses pricing and managing the credit risks associated with a variety of off-balance sheet products such as credit defaults swaps, total return swaps, first-to-default baskets, and credit spread options; and on-balance sheet customized structure products such as credit-linked notes, repackage notes, and synthetic collateralized debt obligations (CDOs). From the contents Chapter 1. The Revolution in Credit--Capital Is the Key. PART 1. THE CREDIT PORTFOLIO MANAGEMENT PROCESS. Chapter 2. Modern Portfolio Theory and Elements of the Portfolio Modeling Process. Chapter 3. Data Requirements and Sources for Credit Portfolio Management. Chapter 4. Credit Portfolio Models. PART 2. TOOLS TO MANAGE A PORTFOLIO OF CREDIT ASSETS. Chapter 5. Loan Sales and Trading. Chapter 6. Credit Derivatives. Chapter 7. Securitization. PART 3. CAPITAL ATTRIBUTION AND ALLOCATION. Chapter 8. Capital Attribution and Allocation. Appendix: Statistics for Credit Portfolio Management. References. Index.

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