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Managing bank risk : an introduction to broad-base credit engineering

Managing bank risk : an introduction to broad-base credit engineering

자료유형
단행본
개인저자
Glantz, Morton.
서명 / 저자사항
Managing bank risk : an introduction to broad-base credit engineering / Morton Glantz ; with contributions by Moody's-KMV and Jonathan Mun.
발행사항
Amsterdam ;   Boston :   Academic Press,   c2003.  
형태사항
xx, 667 p. : ill. ; 24 cm.+ 1 CD-ROM (4 3/4 in.).
ISBN
0122857852 (alk. paper)
일반주기
"CD ... includes a collection of banking and risk models and related software"--P. xix.  
서지주기
Includes bibliographical references and index.
일반주제명
Asset-liability management. Bank management. Risk management.
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010 ▼a 2001099439
020 ▼a 0122857852 (alk. paper)
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
042 ▼a pcc
050 0 0 ▼a HG1615.25 ▼b .G55 2003
082 0 0 ▼a 332.1/068/1 ▼2 21
090 ▼a 332.10681 ▼b G545m
100 1 ▼a Glantz, Morton.
245 1 0 ▼a Managing bank risk : ▼b an introduction to broad-base credit engineering / ▼c Morton Glantz ; with contributions by Moody's-KMV and Jonathan Mun.
260 ▼a Amsterdam ; ▼a Boston : ▼b Academic Press, ▼c c2003.
300 ▼a xx, 667 p. : ▼b ill. ; ▼c 24 cm.+ ▼e 1 CD-ROM (4 3/4 in.).
500 ▼a "CD ... includes a collection of banking and risk models and related software"--P. xix.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Asset-liability management.
650 0 ▼a Bank management.
650 0 ▼a Risk management.
945 ▼a KINS

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No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
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목차


CONTENTS
FOREWORD = xiii
PREFACE = xvii
PART Ⅰ New Approaches to Fundamental Analysis
 1 Introduction to Bank Risk Management = 1
  The PRISM Credit Model : Lending Practices = 3
  PRISM Credit Model = 13
  The Basel Committee Consultative Paper and the PRISM Model = 30
 APPENDIX 1.1 LOAN STRUCTURE STRUCTURING LOAN AGREEMENTS = 37
 APPENDIX 1.2 ABSTRACT OF THE BASEL COMMITTEE'S PRINCIPLES FOR THE MANAGEMENT OF CREDIT RISK = 47
 2 Accounting Standards, Flags, and Distortions = 57
  Accounting Standards : A Lender's Guide = 57
  Footnotes : An Astute Lender Can Be No Less an Astute Auditor = 71
  Basic Elements of Flags, Gimmicks, and Problems : A Few Words Can Be Worth a Thousand Pictures = 79
  Dubious Accounting : Enron Corporation 2001 = 83
  Chapter Summary : The Tie between Bankers and Auditors = 86
 APPENDIX 2.1 A REVIEW OF ELEMENTAL FINANCIAL STATEMENTS = 91
 3 Multivariate Ratio Analysis : A Banker's Guide = 101
  Introduction and Overview = 101
  Liquidity Ratios = 110
  Activity or Turnover Ratios = 111
  Profitability Ratios = 114
  Leverage Ratios = 117
  Growth Ratios = 120
  Valuation Ratios = 120
  Statistical Analysis of Ratios = 121
  Sources of Comparative Ratios = 124
 4 Credit Analysis of Seasonal Businesses : An Integrated Approach = 129
  Examples of Seasonal Businesses = 130
  The Successful Seasonal Cycle = 130
  Seasonal Lending Techniques = 133
  Preparing a Cash Budget = 134
  Example : Break-Even Shipments = 137
  Defensive Measures = 140
 5 Asset-Based Lending = 149
  Market Segments = 150
  Security Interest = 152
  Federal Reserve Audit Guidelines : Collateral = 153
  Loans Secured with Accounts Receivables = 155
  The Audit : Scope and Details = 158
  Loans Secured by Inventories = 165
  Loans Secured By Marketable Securities = 168
  Case Study : Collateralized Lonas Gone Wrong : Home Federal Savings & Loan Association of San Diego, California : 1994 = 170
  Home Federal Savings & Loan Analysis = 177
 APPENDIX 5.1 ACCOUNTS RECEIVABLE FINANCING EXAMINATION PROCEDURES COMMERCIAL : BANK EXAMINATION MANUAL, MARCH 1994 = 183
 6 Cash Flow Analysis : A Banker's Guide = 191
  Cash Versus Accrual-Based Income = 192
  Introduction to Analysis : SFAS 95 and IAS 7 = 192
  Cash Flow Workshop = 204
  Final Points about Cash Flow Analysis = 218
  Analysis : Essar Steel Limited, Mumbai, India = 220
  Cash Flow Reconstruction = 221
 7 Projections and Risk Assessment = 233
  Forcasting Factors = 234
  Statistical Forecasting = 235
  Sensitivity Financial Forecasting = 241
  A Simulations Approach to Financial Forecasting = 246
  Stochastic Optimization = 256
  Use of Forward-Looking Tools in the Approval Process = 258
 APPENDIX 7.1 GLOSSARY OF FORECASTING TERMS = 263
 APPENDIX 7.2 DISTRIBUTION TERMS AND GLOSSARY = 269
 APPENDIX 7.3 A BANKER'S PRIMER ON REAL OPTIONS / JOHNATHAN MUN, PH.D. = 279
 8 Risk Management and Sustainable Growth = 283
  The Industry Life Cycle = 284
  The Sustainable Growth Model = 285
  Solving Sustainable Growth Problems = 293
  A New Strategy : The Solution = 295
  Curve Fitting = 296
 9 Financial Distress : Recognition and Diagnosis of Troubled Loans = 299
  Financial Distress Models = 302
  From Recognition and Diagnosis to Criticized Loans and Classification Status = 309
  From Classification Status to Workout = 313
  From Workout to the Courts = 320
  Developing a DIP Analysis : The Due Diligence Process of a Lending Commercial Finance Institution = 323
 APPENDIX 9.1 U.S. LENDER LIABILITY LITIGATION THROUGH 1992 = 335
PART Ⅱ Credit Administration
 10 Establishing a Risk Management Area = 347
  Loan Policy = 348
  Credit Policies and Procedures : Formal and Writeen = 353
  FRB Loan Examination : Internal Loan Review = 359
  Identifying, Classifying, and Communicating Main Causes of Loan Problems = 362
  The Role and Responsibilities of Loan Offiers = 366
  Credit Reviews and the Quality of Financial Analysis = 367
 APPENDIX 10.1 UNIFORM FINANCIAL INSTITUTION'S RATING SYSTEM COMMONLY REFERRED TO AS THE CAMELS RATING SYSTEM = 375
 APPENDIX 10.2 FORMAL CREDIT POLICIES = 381
 11 Capital Adequacy = 387
  A Historical Perspective : Traditional Asset Categories = 390
  Value Defined by Accounting, Economic, and Regulatory Factors = 392
  Breakdwon of Tier Capital Components = 397
  The Second Pillar : Supervisory Review of Capital Adequacy = 404
  The Third Pillar : Market Discipline Capital Ratios = 408
  An Example of a Bank's Capital Structure = 415
 12 Portfolio Maintenance : An Overview = 423
  The Case For Loan Portfolio Management = 425
  Monitoring Systematic Risk in the Portfolio : Macroeconomic and Industry Exposures = 428
  Hedging Down Risky Exposures = 439
  Credit Derivatives = 448
 APPENDIX 12.1 AN INTRODUCTION TO THE STATISTICS OF PORTFOLIO MANAGEMENT = 455
 APPENDIX 12.2 OPTIMIZING A BANK PORTFOLIO USING EXCEL'S SOLVER = 461
 13 Portfolio Management of Default Risk = 467
  The Model of Default Risk = 469
  Asset Market Value and Volatility = 470
  Measurement of Portfolio Diversification = 472
  Model of Default Correlation = 475
  Model of Value Correlation = 477
  The Likelihood of Large Losses = 481
  Valuation = 483
  Economic Capital and Fund Management = 486
  Risk Contribution and Optimal Diversification = 488
  Risk Contribution and Economic Capital = 492
  Commitments, Covenants, and Exposure = 493
  Subporfolio and Portfolio = 494
  Relationship and Customer Profitability = 495
 14 EDF™ Credit Measure = 499
  Measuring Default Probability : The Problem = 501
  Measuring Default Probability : A Practical Approach = 504
  A Closer Look at Calculating EDF Credit Measures = 511
  Calculating Long-Term EDF Credit Measures = 515
  Some Frequently Asked Questions about KMV's EDF Credit Measures = 516
  Testing the Default Measure's Performance = 525
 15 Credit Derivatives : New Instruments to Trade Credit Risk = 531
  Credit Events = 533
  Materiality Requirement = 534
  Market Growth = 534
  ISDA Documentation = 535
  Pricing Credit Derivatives and the Referenced Credit = 537
  Credit Derivatives : Basic Structures = 538
  Short Examples of Credit Derivatives Utlilization = 547
 16 An Overview of Risk-Adjusted Return on Capital (RAROC) and CreditMetrics = 553
  Risk-Adjusted Return on Capital (RAROC) = 553
  CreditMetrics = 560
 17 Global Exposure Tracking Systems : Application and Design = 567
  Customer Responsibility (Coordination) Units = 568
  Family Responsibility (Coordination) Unit = 570
  GES and Loan Concentrations = 573
  Exposure Information Systems : Design = 579
  Data Architecture = 580
 18 Pricing Models : Design and Application = 589
  Pricing Errors = 590
  Default Rates and Loan Pricing = 593
  Loan Pricing Models = 594
  Stochastic Net Borrowed Funds Pricing Model = 595
  Loan Pricing and the Option Pricing Model = 608
  Case Study : Morton and Maryann Magazine Corp. = 609
 19 Risk Rating Models : Design and Application = 619
  Risk Rating Tutorial : ROBFEL_New4.xls = 621
  Obligor Grades = 623
  Facility Grades = 636
INDEX = 647


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