With the banking industry in flux and the credit business at its
core, Credit Portfolio Management is a timely and practical guide
on how to successfully manage a credit portfolio in light of a
challenging market environment and increased regulatory
scrutiny.
Structured in line with a credit value chain, part I deals with the
framework in which credit risk is originated and managed. It
comprises of three chapters: a brief description of the role that
credit risk played in the financial crisis and thereafter; the
credit risk strategies which aim at optimizing the risk/return
profile of the portfolio under the condition of adequate capital;
and finally an introduction to stress tests which support a
proactive and forward looking approach to portfolio management by
allowing the quantification of improbable but plausible
outcomes.
In Part II, conceptual aspects of an Active Credit Portfolio
Management (ACPM) are discussed. It ranges from the description of
the value proposition to a full credit cycle approach to portfolio
management. Since in most organizations a loan transfer pricing
scheme underpins the internal role of ACPM to optimize the risk and
the return side of credit portfolio, it is given due consideration.
Part II also reviews practical aspects of the implementation of
ACPM, and dedicates a chapter to the accounting symmetry of credit
derivative hedges and loans. It concludes with an overview of
regulatory capital relief.
Part III focuses on the back end management of a credit portfolio
where corrective actions are usually carried out by use of
controversial credit default swaps. Michael provides a non
technical, detailed description of CDS as a hedging tool for credit
portfolio managers whilst also introducing other hedge instruments
such as Loan CDS and sub-participations.
A number of case studies are used throughout the book to illustrate
the various topics in a real world setting.
General
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