As the credit bubble fallout plagues the institutional finance
sector--and will continue to do so in coming years--a strategic approach to credit
portfolio management has never been more critical. The Handbook of Credit Portfolio
Management provides all the information you'll need to successfully rebalance and manage
your credit portfolios.
Together with co-author Christian Hoppe and a team of thirty-five international
contributors, Greg N. Gregoriou provides strategies for calculating risk-weighted assets,
reevaluating hedging strategies, and implementing Basel II standards. Providing a
thoroughly global perspective of the subject, this comprehensive guide includes input from
Moorad Choudhry (Group Head of Treasury at Europe Arab Bank plc, London); Christophe
Godlewski (Universite Louis Pasteur in Strasbourg, France); Roland Fuss (University of
Freiburg, Germany); and Valerio Poti (Trinity College in Dublin, Ireland), who shed light
on such key topics as:
- Investment opportunities of hedge funds
- Basis arbitrage trading strategies
- Issues regarding securitization of a sector basket
- Cost-saving aspects of portfolio hedging with credit futures
The Handbook of Credit Portfolio Management covers the latest developments
and most current portfolio management techniques to help you implement strategies that
best suit your institution's needs.
Greg N. Gregoriou
is Professor of Finance in the School of Business and
Economics at the State University of New York, Plattsburgh. He holds a Ph.D. in finance
from the University of Quebec in Montreal. Gregoriou specializes in hedge funds, funds of
hedge funds, and managed futures. He has published 26 books and more than 50 journal
articles and serves as hedge fund editor for the Journal of Derivatives and Hedge Funds
and editorial board member of the Journal of Wealth Management and the Journal of Risk
Management in Financial Institutions.
Christian Hoppe
works as senior specialist for securitization and credit
derivatives in the credit portfolio management in the corporate banking of Commerzbank AG
Frankfurt. Prior to this, he was credit portfolio manager at Dresdner Kleinwort, the
Investment Bank arm of Dresdner Bank AG in Frankfurt. He started his career as a Business
and Financial Controller for Dresdner Bank. While earning his master's degree, Hoppe
served in the Institutional Research Department of Benchmark Alternative Strategies GmbH,
Frankfurt. He is the author of Derivatives Based on Alternative Investments.
Table of Contents
Section 1: Performance Measurement
1 Implementing Credit Portfolio Management
2 Credit Portfolio Management under IFRS Accounting
3 Basel II Framework and the Impact of a New Regulatory Universe on Credit Asset
Management
4 Basel II Expected Loss in Credit Risk Management
5 Credit Risk Capital Allocation and Performance Measurement
Section Two: Evaluation of Credit Risk
6 Characteristics of Credit Assets and relevance for Credit Portfolio Management
7 Measuring Credit Risk with Emphasis on CDOs
8 Model for the Rating Transitions in a SME Bank Loan Portfolio
9 Cost-to-Securitize as a Transfer Pricing Instrument
10 Mark-to-Market Pricing of Illiquid Loans
Section Three: Managing Credit Exposure
11 A New Age of Liquidity for Bank Debt: Reshaping Loan Portfolio Management
12 Bank Loan Syndication
13 CDS and other Credit Derivatives ? Valuation and Application
14 Evaluation of Basket Credit Derivatives and STCDO Swaps
15 Classification and Characterization of CDS-Indices
16 Converting Derivatives Credit Risk Into Market Risk Section Four: Credit Portfolio
Transactions
17 The Strategies of Hedge Funds in Fixed Income Markets
18 Trading CDS: Illustrating Positive and Negative Basis Arbitrage
19 Securitisation of Shipping Loans
20 Legal Issues in Securitizing Risky Loans
21 "How cheap is zero cost protection"
22 Managing Country Risk
23 The Role of Credit Banks in Corporate Workout-Management
Index
504 pages, Hardcover