Credit Portfolio Modeling Handbook

Credit risk has been in the headlines for the last few years. The volatility in the credit
market a few years ago and the turmoil surrounding the major defaults of Enron,
WorldCom and Marconi have forced credit investors to pay close attention to risk and
reward. But despite these, the appetite for credit risk has not diminished, and historically
low interest rates have made investors turn to credit to provide extra return. Every year
the credit derivatives and structured credit markets have grown at a great pace.
According to the British Bankersí Association survey published at the end of September
2004, total outstanding notionals of credit derivatives have jumped during the first half of
2004 from $3.55 trillion at the end of 2003 to $5.02 trillion, and are predicted to surpass
the $8.2 trillion mark by 2006.
The volatility in the investment grade market in 2002 also forced dealers and end-users
to develop analytics to support their investment decisions, as it was found that the
traditional rating and fundamental research proved insufficient to evaluate credit risk.
This has resulted in an increased interest in credit risk modeling in the academic world,
and only recently these techniques are being implemented in real-world applications.

Download on https://www.credit-suisse.com/investment_banking/platforms_applications/doc/credit_portfolio_modeling.pdf

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s