Hello Environment

Credit Risk Management

Compiled from:

Saunders, A. and Linda Allen (2010). Credit Risk Measurement In and Out of The Financial Crisis, 3 rd Edition.

John Wiley USA.

Altman, E.I. et. al. (2008). Measuring Credit Risk, 2 nd Edition. John Wiley USA.

Anderson, R. (2007). The Credit Scoring Toolkit, 1 st Edition. Oxford University Press, UK.

Table of Contents

1. Credit Risk

2. The Rating Agencies

3. Classic Credit Analysis

4. Credit Scoring and The Business

5. The Mechanics of Credit Scoring

6. Introduction to Credit Risk Models

7. Credit Risk Models Based Upon Accounting Data and Market Values

8. Corporate Credit Risk Models Based on Stock Prices

9. Testing and Implementation of Credit Risk Models

10. Default Recovery Rates and LGD in Credit Risk Modeling and Practice

11. Credit Risk Migration

12. The Credit Risk of Portfolios and Correlations

13. The VAR Approach: CreditMetrics and Other Models

14. Credit Derivatives

15. Country Risk Models

16. Capital Regulation

17. Predictive Statistics

18. Measure of Separation/Divergence

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CHAPTER

1

Credit Risk

The Great Challenge For The Global

Economy

Moderate leverage undoubtedly boosts the capital stock and the

level of output . . . the greater the degree of leverage in any

economy, the greater its vulnerability to unexpected shortfalls in

demand and mistakes.

—Alan Greenspan, Board of Governors of the Federal

Reserve System, 2002

I

n recent decades, credit risk has become pervasive in the United States

and throughout the world. The U.S. Treasury borrows to keep the federal

government afloat, and local water districts borrow to construct new treatment plants. Corporations borrow to make acquisitions and to grow, small

businesses borrow to expand their capacity, and millions of individuals use

credit to buy homes, cars, boats, clothing, and food. The dramatic growth

in U.S. borrowing by all segments of the...