Managing Credit Risk

... Strategies • Offensive Credit Risk Products – Derivatives, Credit Insurance, Securitizations 2 Credit Risk: A Global Challenge (Continued) In High Credit Risk Regions • Lack of Credit Culture (e.g., ... MANAGING CREDIT RISK: THE CHALLENGE FOR THE NEW MILLENNIUM Dr. Edward I. Altman Stern School of Business New York University Credit Risk: A Global Challenge In Low...

Ngày tải lên: 25/04/2013, 20:23

... market and credit risk. Just as I was struggling to integrate these three types of risk, people started worrying about operational risk, basis risk, mortality risk, weather risk, estimation risk, ... 3 Operational Risk 29 3.1 Operations Risk 31 3.1.1 The Risk of Fraud 31 3.1.2 The Risk of Nondeliberate Incorrect Information 35 3.1.3 Disaster Risk 36 3.1.4 Personnel...

Ngày tải lên: 03/04/2014, 18:47

... job. Chapter 1: Overview of risk, significance of precluding and reducing risk in credit relationships1.1. Risk and risk classification in credit relationships1.1.1. Definition of risk Risks are problems ... mechanism. In general, there are following risks: interest risk, capital risk, exchange risk, payment risk, and risk of unable to pay.- Interest risks: “are the risks t...

Ngày tải lên: 27/10/2012, 16:49

Ngày tải lên: 18/10/2013, 17:15

... counterparty credit risk frequently asked questions An update of these FAQs was published in July 2012. http://www.bis.org/publ/bcbs228.htm II. Credit Valuation Adjustment (CVA) risk capital ... counterparty credit risk frequently asked questions 9 An update of these FAQs was published in July 2012. http://www.bis.org/publ/bcbs228.htm 10 Basel III counterparty credi...

Ngày tải lên: 15/02/2014, 13:20

... (online) Derecognition of derivatives valuation adjustments due to own credit- risk Contents Application of own credit risk adjustments to derivatives 1 Executive Summary 1 Background 1 Issue ... fair value of liabilities that are due to changes in the bank’s own credit risk. ” 1 This rule ensures that an increase in credit risk of a bank does not lead to a reduct...

Ngày tải lên: 15/02/2014, 13:20

... the 19 Diversifying Credit Risk with International Corporate Bonds Edith X. Liu ∗ March 13, 2010 Abstract This paper explores the potential for US investors to diversify credit risk exposure with ... the credit market risk as well as the foreign exchange risk. Therefore, to explore the effects of foreign exchange on previously measured diversification gains 21 , this sec- tion anal...

Ngày tải lên: 16/02/2014, 02:20

... counterparty risk in the banking book. Credit derivatives reported under net risk transfers are the notional value of credit protection purchased by a reporting bank, as this involves the credit risk ... three categories of instruments: credit default single names; credit default index and credit default tranches. For comparison, the DTCC’s credit default index and cr...

Ngày tải lên: 16/02/2014, 03:20

... Factors Influencing Sovereign Credit Worthiness Sovereign Credit Risk Credit rating / Internal Risk Assessment / Ranking Sovereign Credit Risk Credit rating / Internal Risk Assessment / Ranking Economic; ... UNEP FI A New Angle on Sovereign Credit Risk1 4 4. E-RISC: Bringing Natural Resource Risks into Sovereign Credit Risk UNEP FI A New Angle on Sovereign Credit...

Ngày tải lên: 16/02/2014, 03:20

... 9 ECB Occasional Paper No 64 July 2007 3 CREDIT RISK MODELS 3.1 OVERVIEW OF CREDIT RISK MODELLING ISSUES In recent years, the literature on credit risk modelling has grown tremendously; even ... probably CreditManager ® (based on the CreditMetrics™ methodology developed by the RiskMetrics Group and formerly J.P. Morgan), Portfolio Manager™ (from KMV), CreditRisk+ (develope...

Ngày tải lên: 16/02/2014, 10:20