Credit Portfolio Management: A Practitioner's Guide to the Active Management of Credit Risks

Hardcover | August 23, 2013

byMichael Hünseler

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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.

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From the Publisher

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...

Michael Hünseler is Head of Credit Risk Strategies and Analytics at Unicredit Group. Previously, he was Head of Active Credit Portfolio Management at Hypovereinsbank and Head of Credit at Deka Investment. Michael was inducted into the Hall of Fame of the most influential people in credit portfolio management in 2004 and was named Cred...
Format:HardcoverDimensions:288 pages, 9.67 × 6.3 × 0.95 inPublished:August 23, 2013Publisher:Palgrave MacmillanLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0230391494

ISBN - 13:9780230391499

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Extra Content

Table of Contents

 
The Case for Credit Portfolio Management
Credit Risk Strategies
What if: Credit Risk Stress Testing
Evolution of Portfolio Management Business Models
Accounting Complexity and Implications
Regulatory capital managment under Basel II
CDS: Hedging of Issuer and Counterparty Risk
Loan Credit Derivatives, Sub-participations and Credit Indices
Hedge Strategies for Baskets, Swaptions and Macro Hedges
 

Editorial Reviews

'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