MARC Record from marc_nuls

LEADER: 06759pam 22003014a 4500
001 9919277290001661
005 20150423115215.0
008 990430s2000 nyua b 001 0 eng
010 $a 99023606
020 $a0735201048 (cloth)
035 $a(CSdNU)u80356-01national_inst
035 $a(Sirsi) l99023606
035 $a(Sirsi) l99023606
035 $a(Sirsi) 01-AAI-7344
035 $a 99023606
040 $aDLC$cDLC$dNhCcYBP$dOrPss
042 $apcc
050 00 $aHG6024.A3$bC488 2000
100 1 $aChorafas, Dimitris N.
245 10 $aCredit derivatives & the management of risk :$bincluding models for credit risk /$cDimitris N. Chorafas.
246 $aCredit derivatives and the management of risk
260 $aNew York :$bNew York Institute of Finance,$cc2000.
300 $axxxvi, 316 p. :$bill. ;$c24 cm.
504 $aIncludes bibliographical references and index.
505 0 $aForeword / John B. Caouette -- Understanding the Managerial Basis and Consequences of Credit Derivatives -- Credit Derivatives and Their Impact on the Financial Industry -- Bankers and Analysts Take a Careful Look at Credit Derivatives -- Credit Derivatives and the Concept of Credit Volatility -- A Credit Derivatives Deal: A Simple Example -- What Can Be Learned from Other Experiences in Securitization? -- Are Credit Derivatives Lowering the Quality of a Bank's Portfolio? -- Credit Derivatives Are Essentially Debit Derivatives -- Factors That May Impact Market Growth -- Assets, Liabilities, the Trading Book, and the Banking Book -- The Market's Switch from Assets to Liabilities -- Extreme Events in Credit Risk: The Case of Long-Term Capital Management -- Defaults That Followed the Globalization of Trades in Liabilities -- Credit Derivatives, Banking Book, and Trading Book -- Fixed-Rate/Floating-Rate Swaps between Banking Book and Trading Book -- The Evolution toward More Sophisticated Bookkeeping Methods -- Information Requirements for Issuers and Users of Credit Derivatives -- Concentration and Leverage with Credit Derivatives -- Investors, Lenders, and the Responsibilities of Senior Management -- Information Requirements with Credit Derivatives -- What Can We Learn from Single-Transaction Management? -- Internal Controls and Credit Derivatives -- Credit Derivatives, Transparency, and Collateralization -- The Difficulty of Obtaining Fair Value Estimates -- Securitized Balance Sheets, Event Risk, and Structural Shock -- Derivatives Trades and the Use of Collateral -- Lessons to Be Learned from Collateralizations of the 1920s -- Credit Derivatives, Risk Premiums, and Long-Term Loans -- Fund Managers and Credit Derivatives Markets -- Institutional Investors, New Money, and Hedge Funds -- Retirement Plans, 401(k)s, and Pension Funds -- Is There a Credit Derivatives Market among Portfolio Managers? -- New Business Opportunity: Marketing Credit Derivatives to Private Bankers -- Taking Stock of Four Types of Risk and Managing Them -- Could Credit Derivatives Become Another Exercise in Junk Bonds? -- The Flight to Quality Will Have Far-Reaching Consequences -- Credit Derivatives Instruments and Their Underliers -- Asset Swaps, Total Return Swaps, and Default Swaps -- Asset Swaps -- Total Return Swaps -- Total Return Swaps, Market Anomalies, and LTCM -- Variants of Total Return Swaps -- Default Swaps -- Can Default Swaps Be Extended to Cover Country Meltdown? -- Position Risk and Default Risk -- Credit-Linked Instruments, Structured Notes, and Credit-Enhanced Ventures -- Credit-Linked Notes -- Structured Notes and Inverse Floaters -- Structured Bonds -- Repurchase Agreements -- Risks Associated with Repos -- Credit-Enhanced Ventures and Structured Investment Vehicles -- Critical Questions with CEVs and SIVs -- Credit Spreads, Credit Options, and Debt Options -- Credit Risk Is on the Rise -- Credit Spreads and Credit Option -- Debt Options -- Risks with Debt Options -- Strips -- Termination Options and Risk Control -- Credit Derivatives and Catastrophe Insurance -- Insured and Uninsured Losses from Natural and Man-Made Catastrophes -- Toward a Securitization of Insured Catastrophes -- What's the Future of a Catastrophe Risk Exchange? -- Contrarian Opinions to the Securitization of Catastrophe Insurance -- Bankers, Treasurers, and Investors Must Always Be Concerned about Diversification -- New Derivatives Instruments, Hedging Policies, and Credit Rating Agencies -- The Sense of Weather Derivatives -- Risks Associated with Hurricane Derivatives -- What's the Use of Energy Derivatives? -- New Product Development Favors Credit Derivatives -- The Role Trade Associations and Rating Agencies Play in Credit Risks -- Models for the Evaluation and Management of Credit Risk -- The Art of Modeling Credit Risk and Its Analytics -- Accounting for Reserves -- The Art Credit Departments Have Been Using -- Measuring Loan Losses on a Statistical Basis -- Actuarial Credit Risk Accounting (ACRA) -- Event Risk, Expected Losses, and Unexpected Losses -- Building Improved Versions of Acra and Other Credit Models -- Using Accurate Distributions for Credit Risk -- Operating Characteristics Curves, Chi-Square, and Degrees of Freedom -- The Need to Integrate Credit Risk and Market Risk by Important Client -- Employing Fermi's Concept to Calculate the Bank's Exposure -- An Order-of-Magnitude Calculation of Derivatives Risk -- RiskMetrics, CreditMetrics, and CreditRisk+ -- RiskMetrics and the Quality of Risk Management -- The Need for a Methodology to Improve Obtained Results -- What CreditMetrics Could Offer to Senior Management -- CreditMetrics and Default Thresholds -- CreditRisk+ and Its Comparison to CreditMetrics -- Risk Adjusted Return on Capital, CreditPortfolioView, and the Loan Analysis System -- Management Discipline and the Modeling of Credit Risk -- Tactical and Strategic Impact of Risk-Adjusted Return on Capital (RAROC) -- RAROC and Capital at Risk -- CreditPortfolioView -- The Loan Analysis System (LAS) -- Why Analytical Systems Serve Senior Management -- Value at Risk -- A Bird's-Eye View of Value at Risk -- Satisfying Regulatory and Managerial Requirements -- Applications Examples Using Value at Risk -- Challenges with the Test of Hypotheses Used in the Model -- Is the VAR Output Comparable from Bank to Bank? -- Rocket Scientists -- The Use of Rocket Science in Banking -- What the Rocket Scientists Do -- Adding Value to Models Already in Use: ACRA and CreditMetrics -- Who Decides on the Work Rocket Scientists Do? -- Rocket Scientists, a Strategic Plan, and the Board.
650 0 $aCredit derivatives.
948 $a11/23/1999$b01/21/2000
999 $aHG 6024 A3 C488 2000$wLC$c1$i31786101169024$d4/9/2012$e3/13/2012 $f4/22/2004$g1$lCIRCSTACKS$mNULS$n2$rY$sY$tBOOK$u6/11/2003