Managing Credit Risk, Vol. 2: The lessons of VaR failures and imprudent exposure

Description:

" This book examines real-life examples and proposes actionable mechanisms to increase transparency..."
From the Foreword by John Hasson, Director of Information Technology and Treasury Operations, Abbey National Treasury Services plc

These two volumes examine best and worst practice in the evaluation and management of credit risk, analysing how credit risk is connected to market risk through trigger events. In two volumes, it discusses the different techniques that can be used to quantify and optimise credit risk management, evaluating their uses, limitations and solutions.

This volume uses case studies to help you understand the fundamentals of counterparty exposure, including:

• Bubbles: Tulips, South Sea, Mississippi, runaway credits and derivatives
• How deficiencies in internal control lead to overexposure
• Illustrations of models that have been misused
• How to capitalize on technology through analytics to help understand the risk being taken
• What can be done through analytics
• The strengths and weaknesses of analytical approaches

Case-studies of real failures and imprudent exposures - including LTCM - are used throughout the book to highlight the lessons learnt about management leniency, risk control, credit risk models and their applications.