Active Credit Portfolio Management in Practice by Jeffrey R. Bohn

By Jeffrey R. Bohn

State of the art innovations and instruments had to facilitate potent credits portfolio administration and strong quantitative credits research

full of in-depth insights and specialist recommendation, energetic credits Portfolio administration in perform serves as a entire advent 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 heritage and implementation to hide what practitioners and researchers desire for truly employing these kinds of chance administration instruments in huge firms yet which whilst, avoids technical proofs in prefer of genuine applications.  all through this ebook, readers may be brought to the theoretical foundations of this self-discipline, and know about structural, reduced-form, and econometric types effectively utilized in the industry at the present time. The e-book is filled with hands-on examples and anecdotes. thought is illustrated with functional program. The authors' web site offers extra software program instruments within the type of Excel spreadsheets, Matlab code and S-Plus code. each one part of the booklet concludes with overview questions designed to spark extra dialogue and mirrored image at the techniques provided.

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Sample text

This market is generally much more liquid than other markets involving credit. While these markets still have much room for improvement (particularly outside of the United States), we have the benefit today of tools and the understanding to manage a portfolio of corporate credit exposures actively in a way that substantially decreases the risk of extreme losses. Tools and methods are also being developed for analyzing portfolios of ABS and retail exposures, though the quantitative literature on these types of exposures lags in many cases that of the corporate literature.

One positive result of the Basel II efforts is the impact it has had on the way in which senior bank managers think about and now focus on the notion of quantitative credit risk modeling and capital allocation. As a consequence, risk management efforts within banks now receive better funding to build and implement systems that not only facilitate regulatory compliance, but that can also be used to implement economic capital systems, which in turn result in more efficient and, importantly, less risky banks.

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