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Credit Risk Analytics: Measurement Techniques, Applications, and Examples in SAS
by Bart Baesens Daniel Roesch Harald ScheuleThe long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.
Credit Risk Assessment: The New Lending System for Borrowers, Lenders, and Investors
by Mingyuan Zhang Clark R. Abrahamsists through the workings of financial markets, particularly how they value, price, and distribute risk." -Professor William Greene, Stern School of Business, New York University "This book is a well-timed departure from much of what is being written today regarding the current foreclosure and credit crisis. Rather than attempting to blame lenders, borrowers, and/or federal regulators for the mortgage meltdown and the subsequent impacts on the financial markets, Clark and Mingyuan have proposed a groundbreaking new framework to revolutionize our current lending system. The book is built on the authors' deep understanding of risk and the models used for credit analysis, and reflects their commitment to solve the problem. What I find most profound is their passion to develop a system that will facilitate new and better investment, especially in underserved urban markets that have been disproportionately impacted in the current crisis. I applaud the authors for this important work, and urge practitioners and theorists alike to investigate this new approach." -John Talmage, President and CEO, Social Compact "In the wake of the credit crisis, it is clear that transparency is the key to not repeating history. In Credit Risk Assessment: The New Lending System for Borrowers, Lenders and Investors, Clark Abrahams and Mingyuan Zhang describe a new lending framework that seeks to connect all the players in the lending chain and provide a more holistic view of customers' risk potential. As the financial services industry recovers from the mortgage meltdown, the Abrahams/Zhang lending model certainly offers some new food for thought to laymen and professionals alike." -Maria Bruno-Britz, Senior Editor, Bank Systems & Technology magazine
Credit Risk Frontiers
by Damiano Brigo Tomasz Bielecki Frederic PatrasA timely guide to understanding and implementing credit derivativesCredit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess?Credit Risk Frontiers offers answers to these and other questions by presenting the latest research in this field and addressing important issues exposed by the financial crisis. It covers this subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest innovations in portfolio products and hedging and risk management techniques.Provides a coherent presentation of recent advances in the theory and practice of credit derivativesTakes into account the new products and risk requirements of a post financial crisis worldContains information regarding various aspects of the credit derivative market as well as cutting edge research regarding those aspectsIf you want to gain a better understanding of how credit derivatives can help your trading or investing endeavors, then Credit Risk Frontiers is a book you need to read.
Credit Risk Management
by The Hong Kong Institute of BankersThe importance of managing credit and credit risks carefully and appropriately cannot be overestimated. The very success or failure of a bank and the banking industry in general may well depend on how credit risk is handled. Banking professionals must be fully versed in the risks associated with credit operations and how to manage those risks. This up-to-date volume is an invaluable reference and study tool that delves deep into issues associated with credit risk management. Credit Risk Management from the Hong Kong Institute of Bankers (HKIB)discusses the various ways through which banks manage risks. Essential for candidates studying for the HKIB Associateship Examination, it can also help those who want to acquire a deeper understanding of how and why banks make decisions and set up processes that lower their risk. Topics covered in this book include: Active credit portfolio management Risk management, pricing, and capital adequacy Capital requirements for banks Approaches to credit risk management Structural models and probability of default Techniques to determine loss given default Derivatives and structured products
Credit Risk Management In and Out of the Financial Crisis
by Allen Linda Anthony SaundersA classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans. Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them Concentrates on the underlying economics to objectively evaluate new models Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.
Credit Risk Management for Derivatives: Post-Crisis Metrics for End-Users
by Ivan ZelenkoThis Palgrave Pivot assesses the impact of the regulatory framework for derivatives built post-crisis and examines its ambition to centralize and minimize credit risk, enhance transparency, and regain control. Zelenko delves into the powerful destabilizing forces exerted by derivatives markets in the global financial meltdown of 2008. Recapping the evolution in markets and counterparty risk management, as well as key aspects of regulation and their impact, this book aims to give readers the big picture and foster a deep understanding of the role of derivatives markets in the financial crisis. This practical angle will give useful keys to end-users and their risk managers, as they are faced with a new, complex, and changing environment. Additionally, this book conducts a comprehensive analysis of the new metrics the market has created to model, price, and manage credit risk, such as the Credit Value Adjustment (CVA), the Debt Value Adjustment (DVA), or the Funding Value Adjustment (FVA), and takes full stock of a domain that is still in rapid evolution. This volume covers the concepts, methods, and approaches taken by banks to manage counterparty credit risk in their derivatives activities in the new post-crisis market and regulatory environment, and it aims to highlight what is practical and effective today.
Credit Risk Management for Indian Banks
by K VaidyanathanCredit Risk Management for Indian Banks is a one-stop reference book for practising credit risk professionals in the Indian banking sector. This is the first book of its kind, which is exclusively targets the practical needs of Indian bankers. It lays more emphasis on the ground realities of Indian banking and enunciates principles and guidelines of credit risk management based on real-life situations.
Credit Risk Management: Pricing, Measurement, and Modeling
by Jiří WitzanyThis book introduces to basic and advanced methods for credit risk management. It covers classical debt instruments and modern financial markets products. The author describes not only standard rating and scoring methods like Classification Trees or Logistic Regression, but also less known models that are subject of ongoing research, like e. g. Support Vector Machines, Neural Networks, or Fuzzy Inference Systems. The book also illustrates financial and commodity markets and analyzes the principles of advanced credit risk modeling techniques and credit derivatives pricing methods. Particular attention is given to the challenges of counterparty risk management, Credit Valuation Adjustment (CVA) and the related regulatory Basel III requirements. As a conclusion, the book provides the reader with all the essential aspects of classical and modern credit risk management and modeling.
Credit Risk Scorecards
by Naeem SiddiqiPraise for Credit Risk Scorecards"Scorecard development is important to retail financial services in terms of credit risk management, Basel II compliance, and marketing of credit products. Credit Risk Scorecards provides insight into professional practices in different stages of credit scorecard development, such as model building, validation, and implementation. The book should be compulsory reading for modern credit risk managers."--Michael C. S. Wong Associate Professor of Finance, City University of Hong Kong Hong Kong Regional Director, Global Association of Risk Professionals"Siddiqi offers a practical, step-by-step guide for developing and implementing successful credit scorecards. He relays the key steps in an ordered and simple-to-follow fashion. A 'must read' for anyone managing the development of a scorecard."--Jonathan G. Baum Chief Risk Officer, GE Consumer Finance, Europe"A comprehensive guide, not only for scorecard specialists but for all consumer credit professionals. The book provides the A-to-Z of scorecard development, implementation, and monitoring processes. This is an important read for all consumer-lending practitioners."--Satinder Ahluwalia Vice President and Head-Retail Credit, Mashreqbank, UAE"This practical text provides a strong foundation in the technical issues involved in building credit scoring models. This book will become required reading for all those working in this area."--J. Michael Hardin, PhD Professor of StatisticsDepartment of Information Systems, Statistics, and Management ScienceDirector, Institute of Business Intelligence"Mr. Siddiqi has captured the true essence of the credit risk practitioner's primary tool, the predictive scorecard. He has combined both art and science in demonstrating the critical advantages that scorecards achieve when employed in marketing, acquisition, account management, and recoveries. This text should be part of every risk manager's library."--Stephen D. Morris Director, Credit Risk, ING Bank of Canada
Credit Risk Spreads in Local and Foreign Currencies
by Dan Galai Zvi WienerA report from the International Monetary Fund.
Credit Risk: Models, Derivatives, and Management (Chapman and Hall/CRC Financial Mathematics Series)
by Niklas WagnerFeaturing contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results.Divided into six sectio
Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance)
by Darrell Duffie Kenneth J. SingletonIn this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies. Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the "structura" and "reduced-form" approaches to pricing defaultable securities are presented, and their comparative fits to historical data are assessed. The authors also provide a comprehensive treatment of the pricing of credit derivatives, including credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets. Credit Risk is an indispensable resource for risk managers, traders or regulators dealing with financial products with a significant credit risk component, as well as for academic researchers and students.
Credit Score Repair: How to Repair your Credit and Boost your Score fast - Delete Judgements, Inquiries and Negative Acounts
by Dana LeeRoughly 30 percent of all Americans are dealing with a poor credit score and more are falling into the trap of bad credit on a daily basis. When you are at the bottom of a debt-shaped hole it can appear as though the deck is stacked against you and that you have no way of climbing your way out. <p><p> It doesn’t matter what type of debt you have accrued, the amount or how recently it has happened, there are numerous different ways of removing it from your credit report ASAP, all of which are discussed in detail inside including step by step instructions and even sample letters when applicable. You will find ways for dealing with credit card debt, late payments, liens, and judgments, even foreclosures in the quickest and most effective means possible. While creditors will lead you to believe otherwise, there are actually a wide variety of options available to those who are simply aware of their rights and are willing to fight to work out the best deals for themselves as possible, all of which are discussed in detail inside.
Credit Scores, Credit Cards: How to Avoid Mistakes and How to Manage Your Accounts Well
by Editors of Silver Lake PublishingProvides timely and valuable information on how consumer credit works in the U.S. and how to improve your credit.
Credit Scoring Secrets: How To Raise Your Credit Score 100 Points In 100 Days
by James L. ParisThe book is based on years of working with individual clients with credit situations as difficult as recent bankruptcies, foreclosures, and even IRS tax liens. Includes letters that can be used to dispute inaccurate information from a credit bureau report. Step by step information on what you need to do if you are currently attempting to get approved for a credit card, auto loan, or mortgage. Includes sources of no qualifying credit accounts that can be used to rebuild credit.
Credit Scoring, Response Modeling, and Insurance Rating
by Steven FinlayWithin the financial services industry today, most decisions on how to deal with consumers are made automatically by computerized decision making systems. At the heart of these systems lie mathematically derived forecasting models. These use information about people and their past behaviour, to predict how people are likely to behave in the future. For example, who is likely to repay a loan, who will respond to a mail shot and the likelihood that someone will claim on their household insurance policy. Decisions about how to treat people are then made on the basis of the predictions calculated by the system. This book provides a step-by-step guide to how the forecasting models used by the worlds leading financial institutions are developed and deployed. It covers all stages involved in the construction of such a model, including project management, data collection, sampling, data pre-processing, model construction, validation, implementation and post-implementation monitoring of the model's performance.
Credit Scoring, Response Modelling and Insurance Rating
by Steven FinlayEvery year, financial services organizations make billions of dollars worth of decisions using automated systems. For example, who to give a credit card to and the premium someone should pay for their home insurance. This book explains how the forecasting models, that lie at the heart of these systems, are developed and deployed.
Credit Treasury
by Gianluca OricchioThis book presents the state-of-the-art with respect to credit risk evaluation and pricing within the contemporary global banking and financial system. It focuses on credit pricing in illiquid, liquid and hybrid markets. No one with any connection to the credit management business will be able to do without it.
Credit Where It's Due: Rethinking Financial Citizenship
by Frederick F. Wherry Kristin S. Seefeldt Anthony S. Alvarez Jose QuinonezAn estimated 45 million adults in the U.S. lack a credit score at time when credit invisibility can reduce one’s ability to rent a home, find employment, or secure a mortgage or loan. As a result, individuals without credit—who are disproportionately African American and Latino—often lead separate and unequal financial lives. Yet, as sociologists and public policy experts Frederick Wherry, Kristin Seefeldt, and Anthony Alvarez argue, many people who are not recognized within the financial system engage in behaviors that indicate their credit worthiness. How might institutions acknowledge these practices and help these people emerge from the financial shadows? In Credit Where It’s Due, the authors evaluate an innovative model of credit-building and advocate for a new understanding of financial citizenship, or participation in a financial system that fosters social belonging, dignity, and respect. Wherry, Seefeldt, and Alvarez tell the story of the Mission Asset Fund, a San Francisco-based organization that assists mostly low- and moderate-income people of color with building credit. The Mission Asset Fund facilitates zero-interest lending circles, which have been practiced by generations of immigrants, but have gone largely unrecognized by mainstream financial institutions. Participants decide how the circles are run and how they will use their loans, and the organization reports their clients’ lending activity to credit bureaus. As the authors show, this system not only helps clients build credit, but also allows them to manage debt with dignity, have some say in the creation of financial products, and reaffirm their sense of social membership. The authors delve into the history of racial wealth inequality in the U.S. to show that for many black and Latino households, credit invisibility is not simply a matter of individual choices or inadequate financial education. Rather, financial marginalization is the result of historical policies that enabled predatory lending, discriminatory banking and housing practices, and the rollback of regulatory protections for first-time homeowners. To rectify these inequalities, the authors propose common sense regulations to protect consumers from abuse alongside new initiatives that provide seed capital for every child, create affordable short-term loans, and ensure that financial institutions treat low- and moderate-income clients with equal respect. By situating the successes of the Mission Asset Fund in the larger history of credit and debt, Credit Where It’s Due shows how to prioritize financial citizenship for all.
Credit and Blame at Work: How Better Assessment Can Improve Individual, Team and Organizational Success
by Ben DattnerPreviously published as The Blame Game, this acclaimed guide by a leading workplace expert offers essential advice about how to succeed at work by avoiding the pitfalls of pervasive credit-grabbing and finger-pointing.Credit and Blame at Work, praised by bestselling management expert Robert Sutton as “a modern management classic; one of the most well-crafted business books I have ever read,” psychologist and workplace consultant Ben Dattner reveals that at the root of the worst problems at work is the skewed allocation of credit and blame. It’s human nature to resort to blaming others, as well as to take more credit for successes than we should. Many managers also foster a “blame or be blamed” culture that can turn a workplace into a smoldering battlefield and upend your career. Individuals are scapegoated, teams fall apart, projects get derailed, and people become disengaged because fear and resentment take hold. But Dattner shows that we can learn to understand the dynamics of this bad behavior so that we can inoculate ourselves against it. In lively prose, Dattner tells a host of true stories from individuals and teams he’s worked with, identifying the eleven personality types who are especially prone to credit and blame problems and introducing simple methods for dealing with each of them. The rich insights and powerful practical advice Dattner offers allow readers to master the vital skills necessary for rising above the temptations of the blame game, defusing the tensions, and achieving greater success.
Credit and Collateral (Routledge International Studies in Money and Banking)
by Vania SenaCollateral - generally defined as an asset used to provide security for a lender's loan - is an important feature of credit contracts and all the available evidence suggests that its use is getting more pervasive. This informative book builds upon recent research into this topic. Sena analyses three case-studies that revolve around the impact that financial constraints have on economic outcomes. In the first case-study, the relationship between firms’ technical efficiency and increasing financial pressure is explored. The author then goes on to show, in the second case study, that under specific circumstances, increasing financial pressure and increasing product market competition can jointly have a positive impact on firms’ technical efficiency, while not being true for all types of firms. In the third case, she analyses the impact that finance constraints have on women’s start-ups. Unique and revealing, this is the first book to deal so extensively with the topic of collateral, and as such, is a valuable reference to postgraduates and professionals in the fields of macroeconomics, monetary and business economics.
Credit and Consumer Society
by Dawn BurtonThe language of credit and debt is almost ubiquitous in daily life. In advanced modern societies, financial institutions and other organizations have become increasingly active in lending money to consumers, and consumers apparently more than willing to take advantage. This groundbreaking new book offers an analysis of this important phenomenon, arguing that we have entered an era in which credit and debt are sanctioned, delivered and collected through new cultural and economic mechanisms. Written in an accessible and straightforward style, the book takes a multi-disciplinary approach, examining consumer credit and debt in both societal and economic contexts. It explores key topics such as: the historical context of credit and debt current theories of a consumer-centred society the credit industry attempts at government regulation. Credit and Consumer Society establishes the wider analysis of consumer credit and debt as a discipline in its own right. It is important reading for students and researchers in business and management, finance, public policy and sociology, as well as for policy makers and consumer groups working directly in this field.
Credit and Debt in Eighteenth-Century England: An Economic History of Debtors’ Prisons (Perspectives in Economic and Social History)
by Alexander WakelamThroughout the eighteenth century hundreds of thousands of men and women were cast into prison for failing to pay their debts. This apparently illogical system where debtors were kept away from their places of work remained popular with creditors into the nineteenth century even as Britain witnessed industrialisation, market growth, and the increasing sophistication of commerce, as the debtors’ prisons proved surprisingly effective. Due to insufficient early modern currency, almost every exchange was reliant upon the use of credit based upon personal reputation rather than defined collateral, making the lives of traders inherently precarious as they struggled to extract payments based on little more than promises. This book shows how traders turned to debtors’ prisons to give those promises defined consequences, the system functioning as a tool of coercive contract enforcement rather than oppression of the poor. Credit and Debt demonstrates for the first time the fundamental contribution of debt imprisonment to the early modern economy and reveals how traders made use of existing institutions to alleviate the instabilities of commerce in the context of unprecedented market growth. This book will be of interest to scholars and researchers in economic history and early modern British history.
Credit and Debt in an Unequal Society: Establishing a Consumer Credit Market in South Africa (The Human Economy #7)
by Jürgen SchratenSouth Africa was one of the first countries in the Global South that established a financialized consumer credit market. This market consolidates rather than alleviates the extreme social inequality within a country. This book investigates the political reasons for adopting an allegedly self-regulating market despite its disastrous effects and identifies the colonialist ideas of property rights as a mainstay of the existing social order. The book addresses sociologists, political scientists, anthropologists and legal scholars interested in the interaction of economy and law in contemporary market societies.
Credit and Trade in Later Medieval England, 1353-1532 (Palgrave Studies in the History of Finance)
by Richard GoddardThis book challenges the notion that economic crises aremodern phenomena through its exploration of the tumultuous 'credit-crunch' ofthe later Middle Ages. It illustrates clearly how influences such as the BlackDeath, inter-European warfare, climate change and a bullion famine occasionedsevere and prolonged economic decline across fifteenth century England. Earlychapters discuss trends in lending and borrowing, and the use of credit to funddomestic trade through detailed analysis of the Statute Staple and rich primarysources. The author then adopts a broad-based geographic lens to examineprovincial credit before focusing on London's development as the commercial powerhousein late medieval business. Academics and students of modern economic change and historicfinancial revolutions alike will see that the years from 1353 to1532 encompassed immense upheaval and change, reminiscent of modern recessions. The author carefully guides the reader to see that these shifts are theprecursors of economic change in the early modern period, laying thefoundations for the financial world as we know it today.