Active Credit Portfolio Management in Practice

State-of-the-art techniques and tools needed to facilitate effective credit portfolio management and robust quantitative credit analysis Filled with in-depth insights and expert advice, Active Credit Portfolio Management in Practice serves as a comprehensive introduction to both the theory and real-world practice of credit portfolio management. The authors have written a text that is technical enough both in terms of background and implementation to cover what practitioners and researchers need for actually applying these types of risk management tools in large organizations but which at the same time, avoids technical proofs in favor of real applications. Throughout this book, readers will be introduced to the theoretical foundations of this discipline, and learn about structural, reduced-form, and econometric models successfully used in the market today. The book is full of hands-on examples and anecdotes. Theory is illustrated with practical application. The authors' Website provides additional software tools in the form of Excel spreadsheets, Matlab code and S-Plus code. Each section of the book concludes with review questions designed to spark further discussion and reflection on the concepts presented.

ISBN 0470080183   Volumes 1 ISBN13 9780470080184 (What's this?)   Weight (grammes) 918 Publisher John Wiley and Sons Ltd   Published in Chichester Imprint John Wiley & Sons Ltd   Series ISSN 384 Format Hardback   Series title The Wiley Finance Series Publication date 21 Apr 2009   Height (mm) 239 Library of Congress 2008042838   Width (mm) 162 DEWEY 332.7   Spine width (mm) 50 DEWEY edition DC22   Academic level Professional / Scholarly Pages 610

Ch. 1		The framework : definitions and concepts		1
Ch. 2		ACPM in practice		45
Ch. 3		Structural models		88
Ch. 4		Econometric models		183
Ch. 5		Less given default		255
Ch. 6		Reduced-form models		289
Ch. 7		PD model validation		361
Ch. 8		Portfolio models		455
Ch. 9		Building a better bank : a case study		551
		References		575
		About the authors		589
		Index		591

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