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Credit Risk Management and Basel II

An implementation guide

By Mohan Bhatia

Published in association with

Price: 99 / $178 / 149

Binding: Hardback

Book Size: Royal Octavio (155mm x 235mm)

Pages: 478pp

ISBN: 1904339433

Table of ContentsAuthor biographySample pagesIndex pageSummaryRelated titlesEmail to a friendTop of Form

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Out now! With the entire financial sector across the globe working on the implementation of the 2004 Basel II Accord in some form and intensity, there is much work to be done at bank level. Credit Risk Management gives you the means to put in place the credit risk measurement and management framework, policies, procedures and practices that are needed.

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Summary

As a unique implementation guide covering the entire spectrum of credit risk management, this book will assist you with your credit risk policy and help you to facilitate the establishment of risk processes and procedures.

Having assessed the vast amount of existing literature on this subject Bhatia found the bulk of it to be deficient in many areas, this book fills in the gaps for you by:

Approaching explanations from a non- mathematical perspective, with the spirit behind the mathematics and equations explained in an accessible manner; Taking a holistic approach, with an end-to-end analysis of the credit risk problem; and Absorbing and integrating best practices echoed by the Basel Accord.

An excellent framework for analysis and implementation is provided and this information will be beneficial for a wide range of people from risk managers and compliance officers to credit risk administration personnel, front and middle office personnel, and students of GARP or financial engineering.

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Table of contents

Chapter 1. Introduction to Credit Risk Management

Challenge of credit risk management

What is credit risk?

Importance of credit risk measurement

Analysing credit loss

Analysing credit event

Components of credit risk

Measurement framework

Types of credit risk

Developments on the regulatory side (BIS framework)

SECTION I RISKCOMPONENTS

Chapter 2. Measuring Default Defining default

Measuring PD

Estimating ex-ante PD

Transition Matrix

Whether rating really measures PD

Uses of PD

Chapter 3. Credit Scoring

Introduction

Issues in credit scoring

Uses of credit scoring

Credit scoring techniques

Discriminant analysis

Logit model

Neural networks

Search for the best method

Case studies

Chapter 4. PD Models

Building blocks for market information based models

Structural models

Reduced form models

Chapter 5. Credit Rating

Business risk assesment methodology

Assessing financial strength

Sovereign credit rating

Credit structures

A generic rating process

External rating

Internal ratings

Chapter 6. Risk Mitigation Techniques

Risk mitigation techniques

Collateral

Credit risk transfers

Securitisation

Credit derivatives

Chapter 7.Loss Given Default

Introduction

LGD under Basel II

Measurement and Estimation of LGD

Factors determining recovery rates

Business requirements for an information system for recording recovery

CREDIT RISK ARCHITECTURE Chapter 8. Credit RiskFortification Introduction

Credit risk management policies, processes and standards

Accounting policies under risk management regime

Credit Risk Organisation structure

Transition from controlling risks to managing risks

Managing Credit Risk

Active portfolio management

Chapter 9.Portfolio Management Introduction

Componentisation, approximation and substitution

Define risk components

Identify risk factors

Transforming risk factors into risk components

Generate risk components distribution

Generate portfolio loss distribution

Applications of portfolio loss distribution

Case studies

Chapter 10. Model Validation

Risk Component Measurement

Validation techniques

Model risk

Model validation techniques

Stress Testing

Best practices

Chapter 11. Software and Data Introduction

Data collection and analysis systems

Credit rating systems

Collateral management systems

Loss given default systems

Regulatory capital estimation systems

Portfolio management systems

Data sources

Preparing Basel II

Bibliography

Author biography

Mohan Bhatia is a Senior Principal Consultant for Basel II Practice at I-flex where he is currently spearheading Reveleus Basel II implementation. Possessing a very rare combination of skills in banking, risk management and IT, over the last four years he has helped banks prepare for Basel II implementation. This includes designing a solution for credit risk management in Japan, and a risk management solution for a bank in Jakarta where he also worked as a technology risk manager to prepare the bank for operational risk management.

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Sample pages

Click here for sample content

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Index page

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