Management of Banking and Financial Services, 2nd Edition

CHAPTER NINE

Managing Credit Risk—Advanced Topics

CHAPTER STRUCTURE

Section I Basic Concepts

Section II Select Approaches and Models—The Credit Migration Approach

Section III Select Approaches and Models—The Option Pricing Approach

Section IV Select Approaches and Models—The Actuarial Approach

Section V Select Approaches and Models—The Reduced form Approach

Section VI Pricing Credit Derivatives

Section VII The Global Credit Crisis of 2007

Annexure I The Global Credit Crisis—A Brief Chronology of Events in 2007–08

KEY TAKEAWAYS FROM THE CHAPTER

• Understand the issues in measuring credit risk

• Understand how credit risk is measured through quantitative models

• Find out how the popular industry sponsored credit risk models work

• Understand ...