Handbook Of Credit Portfolio Management, The

Description:
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.

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

Author Biography:
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.