دانلود کتاب Credit Risk: From Transaction to Portfolio Management (Securities Institute Global Capital Markets)

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Contents......Page 6
Preface......Page 10
Acknowledgements......Page 12
1.1 The credit product......Page 14
1.2 Government bonds and credit......Page 16
1.3 Benchmarks for credit......Page 19
1.4 Corporate bonds......Page 21
1.5 Floating-rate notes......Page 29
1.6 Credit related instruments......Page 31
1.7 Asset-backed securities......Page 39
1.8 International bonds......Page 43
1.9 Commercial paper......Page 52
1.10 High-yield bonds......Page 54
1.11 Credit risk......Page 57
1.12 Risk management of fixed income portfolios......Page 67
1.13 Credit Metrics......Page 80
1.14 Credit indices......Page 83
1.15 Optimizers......Page 89
1.16 KMV model......Page 92
1.17 Rating agencies......Page 98
References 1......Page 101
2.1 What is loan portfolio management?......Page 102
2.2 The loan market......Page 103
2.3 Definitions......Page 105
2.4 Relative value analysis......Page 107
2.6 The syndication process......Page 108
2.7 Pricing within a commercial bank......Page 115
2.8 Loan ratings......Page 118
2.9 Risk management......Page 120
2.10 Approaches to management......Page 122
2.11 Economic vs. regulatory capital......Page 124
2.12 CAR......Page 126
2.13 Loan case studies......Page 129
2.14 Concentration management......Page 137
2.15 Hedging techniques......Page 138
2.16 Central themes......Page 141
References 2......Page 150
3.1 Introduction......Page 152
3.2 Why use credit derivatives?......Page 154
3.3 Definition of a credit event......Page 155
3.4 Credit default swap......Page 156
3.5 Total return swap......Page 158
3.6 Securitization overview......Page 162
3.7 Dynamic credit swaps......Page 169
3.8 Credit options......Page 171
3.10 First to default......Page 173
3.11 The default swap basis......Page 175
3.12 Pricing......Page 179
3.13 Source of pricing......Page 181
3.14 Pricing examples......Page 185
3.15 Regulatory environment......Page 187
3.16 Terminology......Page 190
References 3......Page 193
4.1 Asset-backed securities......Page 194
4.2 Mortgage-backed securities......Page 197
4.3 Auto- and loan-backed securities......Page 200
4.4 Collateral analysis......Page 202
4.5 Analysis of securities......Page 206
4.6 The importance of credit derivatives......Page 209
4.7 Collateralized debt Obligations......Page 213
4.8 CDO asset types......Page 216
4.9 Credit enhancement......Page 218
4.10 Detailed evaluation of asset backing and enhancement......Page 222
4.11 Investor analysis......Page 227
References 4......Page 230
5.1 Introduction......Page 232
5.2 Exposures......Page 233
5.3 FRN analysis......Page 238
5.4 Swap......Page 243
Reference 5......Page 245
6.1 The standalone loan......Page 246
6.2 Standard measures......Page 249
6.3 A portfolio as a set of standalones......Page 250
6.4 Introducing correlation......Page 253
6.5 Other approaches to default......Page 257
6.6 Copulas......Page 259
6.7 Moody\'s Diversity Score......Page 260
6.8 KMV\'s risk calc......Page 261
References 6......Page 262
Index......Page 264