Credit Portfolio Management

Praise for Credit Portfolio Management

"This book takes a complex subject and makes it accessible and practical. The discussion of economic capital is particularly relevant to any firm that wants to enhance value for its stakeholders. This is important reading for students, regulators, CFOs, and risk managers."
-Charles A. Fishkin, Vice President-Firm Wide Risk, Fidelity Investments, and Board of Directors of the International Association of Financial Engineers (IAFE)

"This book comprehensively captures the framework supporting the entrepreneurial and innovative behavior taking hold among banks as the measures, models, and implementation strategies surrounding the business of managing credit portfolios continues to evolve. Charles Smithson's insightful analysis provides a strong foundation for those wanting to move up the learning curve quickly. A 'must read' for credit portfolio managers and those who aspire to be!"
-Loretta M. Hennessey, Senior Vice President, Canadian Imperial Bank of Commerce

"The path to effectively managing credit risk begins with reliable data on default probabilities and loss given default. Charles Smithson's book is an excellent resource for information on sources of data for credit portfolio management, as well as a readable framework for understanding the entire credit portfolio management process."
-Stuart Braman, Managing Director, Standard & Poor's

Numerous market factors have forced financial institutions to change the way they manage their portfolio of credit assets. Evidence of this change can be seen in the rapid growth of secondary loan trading, credit derivatives, and loan securitization. Less obvious-but far more important-is the fact that these institutions, primarily banks, are abandoning the traditional transaction-by-transaction "originate-and-hold" approach, in favor of the "efficient portfolio approach" of an investor.

In Credit Portfolio Management, bestselling author and credit expert Charles Smithson clearly defines the most pressing concerns within this evolving arena and provides solid guidance to overcome even the most daunting credit portfolio challenges. Divided into three equally informative sections . . .
I) The credit portfolio management process
II) Tools to manage a portfolio of credit assets
III) Capital attribution and allocation

. . . this comprehensive guide covers a wide range of issues that credit professionals-from risk managers to derivative dealers and investors-must understand.

Market realities have changed the way credit portfolios must be managed, and that means you have to change too-or get left behind. Filled with up-to-the-minute tools and techniques, illustrative charts and graphs, and recent industry studies and surveys, Credit Portfolio Management will upgrade your skills and enhance your understanding of this unique financial field.

Contents

• The Revolution in Credit-Capital Is the Key

• Modern Portfolio Theory and Elements of the Portfolio Modeling Process
• Data Requirements and Sources for Credit Portfolio Management
• Credit Portfolio Models

• Loan Sales and Trading
• Credit Derivatives
• Securitization

• Capital Attribution and Allocation