Global credit review Volume 2.

Format:

Book

Contributor:

World Scientific (Firm)

Language:

English

Subjects (All):

Credit.

Export credit.

International finance.

Physical Description:

1 online resource (195 p.)

Edition:

1st ed.

Place of Publication:

Singapore ; Hackensack, NJ : World Scientific, c2013.

Language Note:

English

Summary:

This annual publication provides an overview of the most important developments in global credit markets and the regulatory landscape. It covers theoretical and empirical research on credit ratings and credit risk, and reports on recent findings and evolutions of the Risk Management Institute's Credit Research Initiative. The ultimate objective of this publication is to advance the state of research and development in the critical area of credit risk and rating systems. With a distinctive focus on topics related to credit markets and credit risk, this publication will be useful to finance

Contents:

Message from the Editor; Contents; Credit Markets: Retrospect and Prospect David Rowe; INTRODUCTION; I. RETROSPECT; 1.1 The Transformation of Credit Risk Management; 1.2 The Altman Z-Scores 2; 1.3 Beyond a Purely Micro Focus; 1.4 Upheavals Strain the Traditional Bank Business Model; 1.5 The Actuarial Approach; 1.6 Credit Migration Approach; 1.7 The Merton Model; 1.8 Beyond the Merton Model; II. PROSPECT; 2.1 Structured Securities: The Failure of Top-Down Pricing; 2.2 Structured Securities: The Transition to Bottom-Up Pricing; 2.3 Market-Driven Transparency

2.4 Portfolio Dynamics: From Simple Correlations to Structural Analysis 2.5 Behavioral Obstacles and the Danger of Two Cultures; III. CONCLUSION; NOTES; REFERENCES; An Improved Regulatory Framework for Credit Rating Agencies? James Weston; INTRODUCTION; I. CRA REGULATORY DEVELOPMENTS IN THE US; 1.1. The Dodd-Frank Act and CRA Compliance; 1.2. Removal of Statutory References to Credit Ratings and NRSROs (Dodd-Frank 939A); 1.3. Decreasing Reliance on External Ratings in US Bank Risk Management and Regulatory Capital Requirements 22,23; 1.3.1. Sovereigns; 1.3.2 Corporates 26

1.3.3. Banks and credit unions 1.3.4. Securitizations; 1.4. The Al Franken Amendment and CRA Business Models 27-34; 1.4.1. SEC outlines different business models for CRAs; 1.4.2. SEC exemptions a sign that issuer-pays model will endure; 1.4.3. Existing alternatives to the Al Franken Amendment; 1.5 Reinstating NRSRO Protection Under the Securities Act of 1933; 1.6. Standardization within the Ratings Process 45; II. CRA REGULATORY DEVELOPMENTS IN THE EU; 2.1. ESMA Becomes the EU CRA Regulator; 2.2. A Third Round of EU CRA Regulations 51; III. CRA REGULATION BEYOND THE US AND THE EU; 3.1. Australia

3.2. Canada 3.3. Singapore; 3.4. India; 3.5. China; IV. NON-PROFIT ALTERNATIVES; V. CONCLUDING REMARKS; NOTES; Stress Testing Noel D'Cruz and Davide Crippa; INTRODUCTION; I. STRESS TESTS - WHAT THEY ARE AND WHAT THEY ARE NOT; 1.1. Scenario-Based Stress Testing; 1.2. Sensitivity-Based Stress Testing; II. MOTIVATION FOR STRESS TESTS; 2.1. Specific Business Strategy Assessment; 2.2. Risk Appetite Assessment; 2.3. Internal Capital Planning; 2.4. Model Risk Mitigation; 2.5. Macro-Prudential Impact Analysis; 2.6. Regulatory Requirement; III. STRESS TESTING APPROACHES; 3.1. Top-Down Approaches

3.2. Bottom-Up Approaches IV. APPLICATIONS OF STRESS TESTING; 4.1. Risk Appetite and Capital Adequacy; 4.2. Limit Setting; V. DETERMINING EVENTS THAT WOULD 'BREAK THE BANK'; VI. INTEGRATED STRESS TESTS; VII. LIMITATIONS OF STRESS TESTING; VIII. CONCLUSION; REFERENCES; Mega-Banks Self-Insurance with Cocos: A Work in Progress George von Furstenberg; INTRODUCTION; Section Outline; I. GOING-CONCERN VS. GONE-CONCERN COCOS; II. THE COCOS INSTRUMENT TO BE CONSIDERED; III. THE COCOS ISSUERS; IV. METHODS FOR COCOS CONVERSION AND REDISTRIBUTION

4.1. The Distributionally Neutral "Fair Rule," FR, the Benchmark for Dilution

Notes:

Description based upon print version of record.

Includes bibliographical references

ISBN:

981-4412-64-3

1-299-15964-8

OCLC:

828792982