Credit Risk Management In and Out of the Financial Crisis / Wiley Finance Editions (ePub)

List of Abbreviations. Preface. PART ONE: Bubbles and Crises: The Global Financial Crisis of 2007-2009. CHAPTER 1: Setting the Stage for Financial Meltdown. Introduction. The Changing Nature of Banking. Reengineering Financial Institutions and Markets. Summary. Appendix 1.1: Ratings Comparisons for the Three Major Rating Agencies. CHAPTER 2: The Three Phases of the Credit Crisis. Introduction. Bursting of the Credit Bubble. Phase 1: Credit Crisis in the Mortgage Market. Phase 2: The Crisis Spreads--Liquidity Risk. Phase 3: The Lehman Failure--Underwriting and Political Intervention Risk. Summary. CHAPTER 3: The Crisis and Regulatory Failure. Introduction. Crisis Intervention. Looking Forward: Restructuring Plans. Summary. PART TWO: Probability of Default Estimation. CHAPTER 4: Loans as Options: The Moody's KMV Model. Introduction. The Link between Loans and Options. TheMoody's KMV Model. Testing the Accuracy of EDFTM Scores. Critiques of Moody's KMV EDFTM Scores. Summary. Appendix 4.1: Merton's Valuation Model. Appendix 4.2: Moody's KMV RiskCalc. CHAPTER 5: Reduced Form Models: Kamakura's Risk Manager. Introduction. Deriving Risk-Neutral Probabilities of Default. Generalizing the Discrete Model of Risky Debt Pricing. The Loss Intensity Process. Kamakura's Risk Information Services (KRIS). Determinants of Bond Spreads. Summary. Appendix 5.1: Understanding a Basic Intensity Process. CHAPTER 6: Other Credit Risk Models. Introduction. Credit Scoring Systems. Mortality Rate Systems. Artificial Neural Networks. Comparison of Default Probability Estimation Models. Summary. PART THREE: Estimation of Other Model Parameters. CHAPTER 7: A Critical Parameter: Loss Given Default. Introduction. Academic Models of LGD. Disentangling LGD and PD. Moody's KMV's Approach to LGD Estimation. Kamakura's Approach to LGD Estimation. Summary. CHAPTER 8: The Credit Risk of Portfolios and Correlations. Introduction. Modern Portfolio Theory (MPT): An Overview. Applying MPT to Nontraded Bonds

ANTHONY SAUNDERS is the John M. Schiff Professor of Finance and former chair of the Department of Finance at the Stern School of Business at New York University. He holds positions on the Board of Academic Consultants of the Federal Reserve Board of Governors as well as the Council of Research Advisors for the Federal National Mortgage Association, and has been a visiting scholar at the Comptroller of the Currency and at the International Monetary Fund.

LINDA ALLEN is the Presidential Professor of Finance at the Zicklin School of Business at Baruch College, City University of New York (CUNY), and Adjunct Professor of Finance at the Stern School of Business, New York University. She has been a member of the Standard & Poor's Academic Council since its formation in 2004. Professor Allen has published extensively in top academic journals in finance and economics.

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