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.

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The Association of International Wealth Management of India (AIWMI) is a not-for-profit organization and a globally recognized membership association for finance professionals. AIWMI primarily focuses on the broad and strategic role of developing a more robust and forward-looking training infrastructure for the financial services sector and to promote more active industry involvement and collaboration in training and continuing education. AIWMI is offering advanced international certification programs along with a wide variety of high-quality executive education programs. AIWMI programs combine state-of-the-art knowledge and skills with practical experience and insights into the functioning of the financial sector. All AIWMI courses and educational events have an intense and pragmatic curriculum. Participants are exposed to the latest developments within the financial services sector. AIWMI plays a key role in guiding the development of the financial services sector. AIWMI works with key industry participants’ viz. the Government, the Regulators, the Industries/Associations, the Corporate, the Media and the General Public to achieve its objectives. Besides enhancing technical competence and professionalism in the industry, AIWMI organizes events and facilitates discussions to promote best practices in leadership and talent development in the financial sector with an aim to become Asia’s premier center of excellence for financial education.

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