Banker's Handbook on Credit Risk

The Banker's Handbook on Credit RiskImplementing Basel II To order this title, and for more information, click here By Morton Glantz, After an accomplished career in banking specializing in credit analysis and credit risk management, Professor Glantz is on the adjunct faculty at the Fordham Graduate School of Business, NY, and teaches professional-level seminars on credit risk management worldwide. Johnathan Mun, Founder and CEO of Real Options Valuation, Inc., a consulting, training, and software development firm specializing in Basel II analytics and modeling Description The Banker's Handbook on Credit Risk shows you how to comply with Basel II regulations on credit risk step by step, building on the basics in credit risk up to advanced credit risk methodologies. This advanced credit/risk management book takes a "new tools" approach to Basel II implementation. The hands-on applications covered in this book are vast, including areas of Basel II banking risk requirements (credit risk, credit spreads, default risk, value at risk, market risk, and so forth) and financial analysis (exotic options and valuation), to risk analysis (stochastic forecasting, risk-based Monte Carlo simulation, portfolio optimization) and real options analysis (strategic options and decision analysis). This book is targeted at banking practitioners and financial analysts who require the algorithms, examples, models, and insights in solving more advanced and even esoteric problems. The book comes complete with a DVD filled with sample modeling videos, case studies, and software applications to help the reader get started immediately. The various trial software applications included allows the reader to quickly access the approximately 670 modeling functions, 250 analytical model templates, and powerful risk-based simulation software to help in the understanding and learning of the concepts covered in the book, and also to use the embedded functions and algorithms in their own models. In addition, the reader can get started quickly in running risk-based Monte Carlo simulations, run advanced forecasting methods, and perform optimization on a myriad of situations, as well as structure and solve customized real options and financial options problems. Contents Chapter 1 Basel II and Principles for the Management of Credit Risk Chapter 2 International Financial Reporting Standards and Basel II Chapter 3 Decomposing Cash Flow: A Bankers Primer Chapter 4 Step-By-Step in Getting Started with the Modeling Toolkit and Risk Simulator Software Applications Chapter 5 Analytical Forecasting and Cash Flow Projections Chapter 6 Using Risk Simulator Optimization and Valuation Software to Evaluate the Credit Risk of Corporate Restructuring Chapter 7 Analytical Techniques for Modeling Probability of Default, Loss Given Default, Economic Capital, Value at Risk, Portfolio Optimization, Hurdle Rates and Required Rates of Return Chapter 8 Portfolio Optimization Chapter 9 Loan Pricing and Pricing Model Construction Chapter 10 Bankers Primer on Shareholder Value Chapter 11 A Bankers Guide: Valuation Appraisal of Business Clients Chapter 12 Constructing Industry Specific Credit Rating Systems Chapter 13 Building Integrated Exposure Systems Chapter 14 Credit Risk Rating and Debt Analysis (Credit Premium and Debt Options) Chapter 15 Interest Rate Risk, Foreign Exchange Risk, Volatility Estimation, Risk Hedging, Yield Curve Forecasting, and Advanced Forecasting Techniques Chapter 16 Exotic Options and Credit Derivatives Appendix 1 Getting Started with Real Options SLS Software Application on Modeling Customizable Exotic and Real Options Appendix 2 Measuring Default Probability: A Practical Approach