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Credit Portfolio Management

ISBN: 978-0-471-32415-7
352 pages
February 2003
Credit Portfolio Management (0471324159) cover image

Description

A cutting-edge text on credit portfolio management
Credit risk. A number of market factors are causing revolutionary changes in the way it is measured and managed at financial institutions. Charles Smithson, author of the bestselling Managing Financial Risk, introduces a portfolio management approach to credit in his latest book. Understanding how to manage the inherent risks of this market has become increasingly important over the years. Credit Portfolio Management provides readers with a complete understanding of the alternative approaches to credit risk measurement and portfolio management. This definitive guide discusses the pricing and managing of credit risks associated with a variety of off-balance-sheet products such as credit default swaps, total return swaps, first-to-default baskets, and credit spread options; as well as on-balance-sheet customized structured products such as credit-linked notes, repackage notes, and synthetic collateralized debt obligations (CDOs). Filled with expert insight and advice, this book is a must-read for all credit professionals.
Charles W. Smithson, PhD (New York, NY), is the Managing Partner of Rutter Associates and Executive Director of the International Association of Credit Portfolio Managers (IACPM). He is the author of five books, including The Handbook of Financial Engineering and Managing Financial Risk (now in its Third Edition).
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Table of Contents

Chapter 1. The Revolution in Credit—Capital Is the Key.

PART 1. THE CREDIT PORTFOLIO MANAGEMENT PROCESS.

Chapter 2. Modern Portfolio Theory and Elements of the Portfolio Modeling Process.

Chapter 3. Data Requirements and Sources for Credit Portfolio Management.

Chapter 4. Credit Portfolio Models.

PART 2. TOOLS TO MANAGE A PORTFOLIO OF CREDIT ASSETS.

Chapter 5. Loan Sales and Trading.

Chapter 6. Credit Derivatives.

Chapter 7. Securitization.

PART 3. CAPITAL ATTRIBUTION AND ALLOCATION.

Chapter 8. Capital Attribution and Allocation.

Appendix: Statistics for Credit Portfolio Management.

References.

Index.

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Author Information

CHARLES W. SMITHSON is the Managing Partner of Rutter Associates. His career has spanned the gamut, with positions in academia, government, and the private sector. Smithson most recently worked for CIBC, where he created the School of Financial Products. He was formerly Managing Director for Risk Management Research and Education at Chase Manhattan Bank, and Managing Director for Risk Management Research at Continental Bank. The author of numerous articles in professional and academic journals, Smithson is best known as the originator of the "Building Block Approach" to Financial Products. He is the author of five books, including The Handbook of Financial Engineering and Managing Financial Risk (now in its third edition). Smithson was instrumental in the formation of the International Association of Credit Portfolio Managers (IACPM) and served as its first Executive Director. Smithson served as a member of the Working Group for the Global Derivatives Project, sponsored by the Group of Thirty, and on the board of directors of the International Swaps and Derivatives Association (ISDA). Smithson received his PhD in economics from Tulane University.
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