By Jeffrey R. Bohn
Cutting-edge suggestions and instruments had to facilitate powerful credits portfolio administration and strong quantitative credits research
jam-packed with in-depth insights and professional recommendation, 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 when it comes to heritage and implementation to hide what practitioners and researchers desire for truly utilizing some of these danger administration instruments in huge organisations yet which whilst, avoids technical proofs in want of genuine applications. all through this ebook, readers might be brought to the theoretical foundations of this self-discipline, and find out about structural, reduced-form, and econometric types effectively utilized in the marketplace at the present time. The e-book is stuffed with hands-on examples and anecdotes. conception 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. each one portion of the ebook concludes with evaluation questions designed to spark extra dialogue and mirrored image at the ideas awarded.
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Additional resources for Active Credit Portfolio Management in Practice
3 The counterparty who is out-of-the-money owes payments to the counterparty who is in-the-money, such as would be the case, for example, for the holder of the fixedrate leg of a floating-fixed-rate interest swap when fixed rates were above floating rates. 6 ACTIVE CREDIT PORTFOLIO MANAGEMENT IN PRACTICE Frequency counterparty-default risk. The latter part of 1998 also saw a substantial increase in the likelihood of counterparty default. After Russia defaulted on its domestic currency debt and LTCM (a large hedge fund) came to the brink of insolvency, many investment banks appeared to face unprecedented difficulty.
The purpose of an SPV is typically to create bankruptcy remoteness for the issuance of the debt. This means that the ownership of collateral is legally transferred from, say, the bank that made the loans, to the SPV. The objective is to ensure that if the bank goes into default, the collateral will not be considered part of the assets of the bank. Said another way, the SPV structure ensures that the collateral will be used only for the benefit of the holders of the structured securities issued by the SPV, regardless of where it was originated.
Currently, a more complex accord known as Basel II is being debated. While regulators have now acknowledged the feasibility and importance of estimating quantitative measures of credit such as probability of default (PD) and loss given default (LGD), the most advanced banks have already been running systems that not only evaluate PDs and LGDs, but also incorporate the correlations among exposures in their portfolios. Some regulators have made efforts to incorporate a portfolio view into bank regulations, but the progress has been slow.
Active Credit Portfolio Management in Practice by Jeffrey R. Bohn