Credit risk management / the Hong Kong Institute of Bankers.

Includes bibliographical references and index.

Machine generated contents note: pt. 1 THE CREDIT RISK FRAMEWORK -- 1.Definitions and Concepts -- Learning Objectives -- Introduction -- What is Credit? -- Evolution of Credit Markets -- What is Credit Risk? -- Building Blocks of Portfolio Risk -- Default -- Portfolio Performance Metrics -- Data and Data Systems -- Risk Control Framework and Governance -- Summary -- Key Terms -- Study Guide -- Further Reading -- 2.Active Credit Portfolio Management -- Learning Objectives -- Introduction -- What is ACPM? -- Mark-to-market Approach -- Metrics for ACPM -- Data and Models -- Summary -- Key Terms -- Study Guide -- Further Reading -- 3.Capital Adequacy Framework -- Learning Objectives -- Introduction -- Capital Adequacy Under Basel I -- Basel Il's Three Pillar Approach -- Basel III (2010) -- Capital Adequacy in Hong Kong -- Implementation Issues -- Summary -- Key Terms -- Study Guide -- Further Reading -- pt. 2 CAPITAL REQUIREMENTS ON CREDIT RISK UNDER BASEL --

Contents note continued: 4.Standardised Approach to Credit Risk -- Learning Objectives -- Introduction -- Standardised Approach to Credit Risk -- Individual Claims -- Credit Risk Mitigation -- Securitization Exposures -- Summary -- Key Terms -- Study Guide -- Further Reading -- 5.Internal Ratings-Based Approach -- Learning Objectives -- Introduction -- What is the IRB Approach? -- Building Blocks of the IRB Approaches -- IRB and Selected Exposures -- Internal Rating System -- Validation of IRB Models -- Summary -- Key Terms -- Study Guide -- Further Reading -- pt. 3 CREDIT RISK AND PORTFOLIO MODELS -- 6.Structural Models -- Learning Objectives -- Introduction -- Basic Structural Model -- Black-Scholes-Merton -- Valuation -- Black-Cox -- Vasicek-Kealhofer -- Stochastic Interest Rates -- Endogenous Default Barrier -- Corporate Transaction Analysis -- Liquidity -- Other Structural Approaches -- Summary -- Key Terms -- Study Guide -- Further Reading -- 7.Econometric Models --

Contents note continued: Learning Objectives -- Introduction -- Discrete-choice Models -- Hazard Rate (Duration) Models -- Practical Applications -- Calibrating Econometric Models -- Calibrating to Ratings -- Interpreting the Relative Influence of Factors in Econometric Models -- Data Issues -- Summary -- Key Terms -- Study Guide -- Further Reading -- 8.Loss Given Default -- Learning Objectives -- Introduction -- Timeline of Default Resolution -- Measures of LGD -- Multifactor Approach to LGD -- Regression Framework -- Summary -- Key Terms -- Study Guide -- Further Reading -- 9.Reduced-form Models -- Learning Objectives -- Introduction -- Reduced-form Models in Context -- Basic Intensity Models -- DSL Framework -- Credit Rating Transition Models -- Default Probability Density Version of Intensity Models -- Generic Credit Curves -- Summary -- Key Terms -- Study Guide -- Further Reading -- 10.PD Model Validation -- Learning Objectives -- Introduction -- Parameter Robustness --

Contents note continued: Measures of Model Power -- Measures of PD Levels and Calibration -- Sample Size and Confidence Bounds -- Assessing the Economic Value of More Powerful PD Models -- Designing Validation Tests -- Summary -- Key Terms -- Study Guide -- Further Reading -- 11.Portfolio Models -- Learning Objectives -- Introduction -- Measuring Portfolio Diversification -- Portfolio Risk Assuming No Credit Migration -- Structural Models of Default Correlation -- Credit Migration -- Model of Value Correlation -- Probability of Large Losses -- Valuation -- Return Calculations -- Risk Calculations -- Portfolio Loss Distribution -- Capital -- Economic Capital and Portfolio Management -- Improving Portfolio Performance -- Performance Metrics -- Reduced-form Models and Portfolio Modelling -- Correlation in Intensity Models -- Copulas -- Integrating Market and Credit Risk -- Counterparty Risk in CDS and Credit Portfolios -- Stress-testing -- Summary -- Key Terms -- Study Guide --

Contents note continued: Further Reading -- pt. 4 CREDIT DERIVATIVES AND STRUCTURED CREDIT PRODUCTS -- 12.Credit Derivatives -- Learning Objectives -- Introduction -- What are Credit Derivatives? -- Credit Default Swap -- Total Return Swaps -- Credit-linked Notes -- Credit Spread Derivatives -- Pricing Credit Derivatives -- Summary -- Key Terms -- Study Guide -- Further Reading -- 13.Structured Credit Products -- Learning Objectives -- Introduction -- Securitisation -- Asset Backed Security -- Collateralised Debt Obligation -- Capital Charge Requirements -- Derivatives and Structured Credit as Risk Management Tools -- Summary -- Key Terms -- Study Guide -- Further Reading.