Credit Portfolio Management: A Practitioner's Guide to the Active Management of Credit Risks (Global Financial Markets) - Hardcover

Hünseler, Michael

Hardcover

ISBN 10: 0230391494 ISBN 13: 9780230391499

Publisher: Palgrave Macmillan, 2013

Synopsis

Credit Portfolio Management is an excellent book on the modern credit value chain of banks. With the banking industry in general overhaul and credit business at the core of it, this book provides a timely and practical guidance on how to successfully manage a credit portfolio in light of a challenging market environment and increased regulatory scrutiny. A focus is placed on the development of a risk strategy with corresponding risk limits and stress tests.

This book outlines the key ingredients of fit for purpose business models for Active Credit Portfolio Management. Ever more important regulatory and accounting aspects of hedging are discussed and solutions provided for the accounting mismatch arising from hedging loans with credit derivatives. The author delves deep into the mechanics of Credit Default Swaps, using case studies such as the Greek default event to uncover built in flaws of this most frequently used product for credit risk mitigation. Other hedge instruments and strategies, including sub-participations, swaptions, baskets, tranches and macro hedges, are explained in detail. The book concludes with a very topical discussion on bank regulatory capital optimisation through credit risk transfer techniques.

About this title

Product Description:

[ Credit Portfolio Management: A Practitioner's Guide to the Active Management of Credit Risks (2013) By ( Author ) Jul-2013 Hardcover

Review:

'Credit portfolio management is at the heart of the current banking crisis, and this book offers practitioners a complete and comprehensive guide to the subject. Various case studies add a real world element to the theory presented in the book while also offering in-depth instruction on how to avoid the pitfalls of active credit risk management.'
- Tim Jennison, Managing Director, Morgan Stanley, UK
 
'Tackling a complex subject, this book makes it greatly accessible. Its non-technical, real life orientation from actual developments makes it absolutely useful for practitioners. The book's structure along the lines of the credit value chain ensures that all key areas are well covered, providing an insightful, updated, and comprehensive guide.'
- Luis Maglanoc, CFA. Global Head of Credit Research, UniCredit Bank AG, Germany
 
'Michael Huenseler gives a comprehensive overview of all relevant aspects of credit portfolio management from a bank's perspective. His detailed and articulate explanation of credit default swaps as hedging instrument, highlighted through various practical examples from recent experience, provide valuable insight not only with regards to effectiveness but also to its repercussions to the wider market place.'
- Marion Stommel-Hatzidimoulas, Head of Credit, Legal & General Investment Management, UK
 
'The quality of the (active) credit portfolio management (ACPM) unit will have an increasingly significant impact on the success and the stability of the banks. The answers to the majority of the questions raised by the new regulatory framework(s) plus all the additional limitations can be found there. In this regard Michael created an all-embracing compendium, it is a must-read for all active credit portfolio managers who want to be prepared for the upcoming challenges of ACPM 2.0.'
- Christian Hoppe, Head of Credit Solutions, Mittelstandsbank of Commerzbank AG Frankfurt, Germany 
 
'I've known Michael Hünseler for several years in his capacity as an Active Credit Portfolio Management professional. His new book provides both a theoretical and practical guide to the value and potential pitfalls of running an ACPM group within a large commercial bank. I highly recommend the book to anyone looking to improve the performance of a bank credit portfolio through more advanced ACPM practices.'
- Allan Yarish, Portfolio Manager, Channel Capital Advisors, UK

About this edition

• Publisher: Palgrave Macmillan
• Publication date: 2013
• ISBN 10: 0230391494
• ISBN 13: 9780230391499
• Binding: Hardcover
• Number of pages: 285