The Handbook of Credit Risk Management: Originating, Assessing, and Managing Credit Exposures

ISBN-13: 9781119835639 / Angielski / Twarda / 2021 / 416 str.

Sylvain Bouteille; Diane Coogan-Pushner

Spis treści

Preface xiiiAcknowledgments xxiAbout the Companion Website xxiiiPart One OriginationChapter 1 Fundamentals of Credit Risk 3What Is Credit Risk? 3Types of Transactions That Create Credit Risk 5Who Is Exposed to Credit Risk? 9Why Manage Credit Risk? 19Chapter 2 Governance 21Guidelines 22Skills 25Setting Limits 30Oversight 30Final Words 33Chapter 3 Checklist for Origination 35Does the Transaction Fit into My Strategy? 36Does the Risk Fit into My Existing Portfolio? 37Do I Understand the Credit Risk? 38Does the Seller Keep an Interest in the Deal? 39Are the Proper Mitigants in Place? 40Is the Legal Documentation Satisfactory? 41Is the Deal Priced Adequately? 41Do I Have the Skills to Monitor the Exposure? 42Is There an Exit Strategy? 43Final Words 44Part Two Credit AssessmentChapter 4 Measurement of Credit Risk 47Exposure 47Probability of Default 52The Recovery Rate 62The Tenor 63Direct versus Contingent Exposure 64The Expected Loss 65Chapter 5 Dynamic Credit Exposure 67Long-Term Supply Agreements 68Derivative Products 70The Economic Value of a Contract 73Mark-to-Market Valuation 75Value at Risk (VaR) 78Chapter 6 Fundamental Credit Analysis 81Accounting Basics 83A Typical Credit Report 91Agency Conflict, Incentives, and Merton's View of Default Risk 100Final Words 105Chapter 7 Alternative Estimations of Credit Quality 107The Evolution of an Indicator: Moody's Analytics EDF(TM) 108Credit Default Swap Prices 114Bond Prices 120Final Words 121Chapter 8 Consumer Finance 123What Is Consumer Finance? 126Segmentation of Consumer Finance Products 127Major Families of Consumer Finance Products 129Assessment of Credit Quality 136Decisions by Lenders 139Regulatory Environment 143Chapter 9 State and Local Government Credit 145State and Local Governments 145Exposure Types 146Assessing Credit Risk 152Managing Credit Risk 156Final Words 160Chapter 10 Sovereign Credit Risk 161Sovereign Borrowers 161Types of Sovereign Bonds 162Sovereign Debt Market 163Credit Analysis 163Mitigation 166Default and Recovery 167Final Words 168Chapter 11 Securitization 169Asset Securitization Overview 171The Collateral 174The Issuer 178The Securities 179Main Families of ABSs 182Securitization for Risk Transfer 186Credit Risk Assessment of ABS 189Warehousing Risk 191Final Words 192Chapter 12 Collateral Loan Obligations (CLOs) 193Overview of the Corporate Loan Market 194What Are CLOs? 194Arbitrage CLOs 196Balance Sheet CLOs 200ABS CDOs 205Credit Analysis of CLOs 207Part Three Portfolio ManagementChapter 13 Credit Portfolio Management 213Level 1 215Level 2 219Level 3 224Organizational Setup and Staffing 226The IACPM 227Final Words 227Chapter 14 Economic Capital and Credit Value at Risk (CVaR) 229Capital: Economic, Regulatory, Shareholder 230Defining Losses: Default versus Mark-to-Market (MTM) 232Credit Value at Risk or CVaR 235Creating the Loss Distribution 242Active Portfolio Management and CVaR 249Pricing 251Final Words 252Chapter 15 Regulation 255Doing Business with a Regulated Entity 256Doing Business as a Regulated Entity 262How Regulation Matters: Key Regulation Directives 263Final Words 271Chapter 16 Accounting Implications of Credit Risk 273Loan Impairment 274Loan-Loss Accounting 275Regulatory Requirements for Loan-Loss Reserves 277Impairment of Debt Securities 278Derecognition of Assets 279Consolidation of Variable Interest Entities (VIEs) 280Accounting for Netting 281Hedge Accounting 282Credit Valuation Adjustments, Debit Valuation Adjustments, and Own Credit Risk Adjustment 284IFRS 7 285Final Words 285Part Four Mitigation and TransferChapter 17 Mitigating Derivative Counterparty Credit Risk 289Measurement of Counterparty Credit Risk 289Mitigation of Counterparty Credit Risk through Collateralization 290Legal Documentation 298Dealers versus End Users 299Bilateral Transactions versus Central Counterparty Clearing 299Prime Brokers 303Repurchase Agreements 304Final Words 306Chapter 18 Structural Mitigation 307Transactions with Corporates 308Transactions with Special Purpose Vehicles 317Chapter 19 Credit Insurance, Surety Bonds, and Letters of Credit 325Credit Insurance 326Surety Bonds 332Letters of Credit or LoCs 335The Providers' Point of View 339Final Words 342Chapter 20 Credit Derivatives 345The Product 345The Settlement Process 349Valuation and Accounting Treatment 354Uses of CDSs 356Credit Default Swaps for Credit and Price Discovery 360Credit Default Swaps and Insurance 360Indexes, Loan CDSs, MCDSs, and ABS CDSs 361Chapter 21 Bankruptcy 363What Is Bankruptcy? 364Patterns of Bankrupt Companies 365Signaling Actions 368Examples of Bankruptcies 369Final Words 372About the Authors 373Index 375

O autorze

SYLVAIN BOUTEILLÉ is Head of Trade Credit for the Americas at AIG, the global insurance company. Prior to AIG, Sylvain worked more than 20 years at Swiss Re. He holds a MSc degree in Civil Engineering from ENTPE (France) and an MBA from INSEAD (France).DIANE COOGAN-PUSHNER, PhD, has decades of experience in the financial services industry, working most recently as the Chief Risk Officer of Navigator's Group, Inc., a publicly traded insurer. She received her doctorate from Boston University and is a CFA(r) charterholder.