By Jeffrey R. Bohn
Cutting-edge strategies and instruments had to facilitate powerful credits portfolio administration and strong quantitative credits research
jam-packed with in-depth insights and professional suggestion, energetic credits Portfolio administration in perform serves as a accomplished creation to either the idea and real-world perform of credits portfolio administration. The authors have written a textual content that's technical sufficient either by way of history and implementation to hide what practitioners and researchers want for really utilizing some of these possibility administration instruments in huge agencies yet which even as, avoids technical proofs in prefer of genuine applications. all through this booklet, readers may be brought to the theoretical foundations of this self-discipline, and know about structural, reduced-form, and econometric versions effectively utilized in the industry this day. The booklet is filled with hands-on examples and anecdotes. thought is illustrated with sensible software. The authors' site offers extra software program instruments within the type of Excel spreadsheets, Matlab code and S-Plus code. every one element of the booklet concludes with assessment questions designed to spark extra dialogue and mirrored image at the techniques awarded.
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Extra info for Active Credit Portfolio Management in Practice
However, as with any technical field, there is always a gap between reading about something and doing it. Setting up an active credit portfolio management function requires hundreds of small and large decisions, and these require more specialized and customized expertise than can fit into any general text. This field still has a ways to go. We look forward to maintaining and extending associations with the members of the global credit community to overcome the long list of issues still to be resolved in this dynamic field of quantitative credit risk modeling.
In this situation, the risk of a counterparty not paying became significant. Counterparty credit risk always exists, and even if a derivative counterparty does not default, the value of an in-the-money derivative may be adversely affected by the difficulties faced by the counterparty. A firm or counterparty does not have to default in order to result in a loss of value for a particular credit-risky instrument. Counterparty credit risk has become a much more important topic as the volume of derivatives has mushroomed and market participants have become more cognizant of this risk.
The call option provides this opportunity. As another example, many bank loans are structured with triggers and other features that change the payoff of the loan conditional on various metrics related to the borrower’s performance. , total debt/total equity or total debt/total assets), deteriorates. Sometimes a credit exposure does not even reflect actual cash being loaned right away. Instead of a straight term loan, a bank may extend a commitment to lend with a variety of conditions as to the terms of borrowing.
Active Credit Portfolio Management in Practice by Jeffrey R. Bohn