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Managing Bank Risk
An Introduction to Broad-Base Credit Engineering
- 1st Edition - December 4, 2002
- Author: Morton Glantz
- Language: English
- Hardback ISBN:9 7 8 - 0 - 1 2 - 2 8 5 7 8 5 - 0
- eBook ISBN:9 7 8 - 0 - 0 8 - 0 5 1 0 8 3 - 5
Managing Bank Risk reformulates proven concepts of credit risk management in the context of contemporary best practice techniques in portfolio management. Professor Gla… Read more
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Request a sales quoteManaging Bank Risk reformulates proven concepts of credit risk management in the context of contemporary best practice techniques in portfolio management.
Professor Glantz provides print and electronic risk-measuring tools that ensure that credits are made in accordance with bank policy and regulatory requirements, giving bankers the data necessary for judging asset quality and value. The book's two sections, New Approaches to Fundamental Analysis and Credit Administration, show readers ways to assimilate new tools, such as credit derivatives, cash flow computer modeling, distress prediction and workout, interactive risk rating models, and probabilistic default screening, with well-known controls. By following the guidelines of the Basel Committee on Banking Supervision, the book offers useful models, programs, and documents essential for creating a sound credit risk environment, credit granting processes, and appropriate administrative and monitoring controls.
This book is recommended for professionals working in lending industries and graduate students studying commercial banking, financial accounting, financial intermediation, financial studies, and international finance.
@introbul:Key Features
@bul:* Book includes features such as:
* Chapter-concluding questions
* Case studies illustrating all major tools
* EDF™ Credit Measure provided by KMV, the world's leading provide of market-based quantitative credit risk products
* Library of internet links directs readers to information on evolving credit disciplines, such as portfolio management, credit derivatives, risk rating, and financial analysis
* CD-ROM containing interactive models and a useful document collection
@introbul:* Credit engineering tools covered include:
@bul:* Statistics and simulation driven forecasting
* Risk adjusted pricing
* Credit derivatives
* Ratios
* Cash flow computer modeling
* Distress prediction and workouts
* Capital allocation
* Credit exposure systems
* Computerized loan pricing
* Sustainable growth
* Interactive risk rating models
* Probabilistc default screening
@introbul:* Accompanying CD includes:
@bul:* Interactive 10-point risk rating model
* Comprehensive cash flow model
* Trial version of CB Pro, a time-series forecasting program
* Stochastic net borrowed funds pricing model
* Asset based lending models, courtesy Federal Reserve Bank
* The Uniform Financial Institutions Rationg System (CAMELS)
* Two portfolio optimization software models
* a library of documents from the International Swap Dealers Association, the Basel Committee on Banking Supervision, and others
@bul:* Book includes features such as:
* Chapter-concluding questions
* Case studies illustrating all major tools
* EDF™ Credit Measure provided by KMV, the world's leading provide of market-based quantitative credit risk products
* Library of internet links directs readers to information on evolving credit disciplines, such as portfolio management, credit derivatives, risk rating, and financial analysis
* CD-ROM containing interactive models and a useful document collection
@introbul:* Credit engineering tools covered include:
@bul:* Statistics and simulation driven forecasting
* Risk adjusted pricing
* Credit derivatives
* Ratios
* Cash flow computer modeling
* Distress prediction and workouts
* Capital allocation
* Credit exposure systems
* Computerized loan pricing
* Sustainable growth
* Interactive risk rating models
* Probabilistc default screening
@introbul:* Accompanying CD includes:
@bul:* Interactive 10-point risk rating model
* Comprehensive cash flow model
* Trial version of CB Pro, a time-series forecasting program
* Stochastic net borrowed funds pricing model
* Asset based lending models, courtesy Federal Reserve Bank
* The Uniform Financial Institutions Rationg System (CAMELS)
* Two portfolio optimization software models
* a library of documents from the International Swap Dealers Association, the Basel Committee on Banking Supervision, and others
Professionals working in lending industries-banks, insurance companies, thrifts, securities firms, and pension funds; these professionals include educators, entrepreneurs, accountants, investors, consultants, turnaround specialists, financial engineers and executives, investment bankers, research and ratings personnel, and portfolio managers. Graduate students studying commercial banking, financial accounting, financial intermediation, financial studies, and international finance.
Part I: New Approaches to Fundamental Analysis
Introduction to Bank Risk Management
Accounting Standards, Flags and Distortions
Multivariate Ratio Analysis: A Banker's Guide
Credit Analysis of Seasonal Businesses: An Integrated Approach
Asset-Based Lending
Cash Flow Analysis: A Banker's Guide
Projections and Risk Assessment
Risk Management and Sustainable Growth
Financial Distress: Recognition and Diagnosis of Troubled Loans
Part II: Credit Administration
Establishing a Risk Management Area
Capital Adequacy
Portfolio Maintenance: An Overview
Portfolio Management of Default Risk
EDF™ Credit Measure
Credit Derivatives: New Instruments to Trade Credit Risk
An Overview of Risk-Adjusted Return on Capital (RAROC) and CreditMetrics
Global Exposure Systems: Application and Design
Pricing Models: Design and Application
Risk Rating Models: Design and Application
Introduction to Bank Risk Management
Accounting Standards, Flags and Distortions
Multivariate Ratio Analysis: A Banker's Guide
Credit Analysis of Seasonal Businesses: An Integrated Approach
Asset-Based Lending
Cash Flow Analysis: A Banker's Guide
Projections and Risk Assessment
Risk Management and Sustainable Growth
Financial Distress: Recognition and Diagnosis of Troubled Loans
Part II: Credit Administration
Establishing a Risk Management Area
Capital Adequacy
Portfolio Maintenance: An Overview
Portfolio Management of Default Risk
EDF™ Credit Measure
Credit Derivatives: New Instruments to Trade Credit Risk
An Overview of Risk-Adjusted Return on Capital (RAROC) and CreditMetrics
Global Exposure Systems: Application and Design
Pricing Models: Design and Application
Risk Rating Models: Design and Application
- No. of pages: 688
- Language: English
- Edition: 1
- Published: December 4, 2002
- Imprint: Academic Press
- Hardback ISBN: 9780122857850
- eBook ISBN: 9780080510835
MG
Morton Glantz
Professor Morton Glantz serves as a financial consultant, educator, and adviser to a broad spectrum of professionals, including corporate financial executives, government ministers, privatization managers, investment and commercial bankers, public accounting firms, members of merger and acquisition teams, strategic planning executives, management consultants, attorneys, and representatives of foreign governments and international banks. Professor Morton Glantz is a principal of Real Consulting and Real Options Valuation, firms specializing in risk consulting, training, certification, and advanced analytical software in the areas of risk quantification, analysis, and management solutions.
As a JP Morgan Chase (heritage bank) senior banker, Professor Glantz built a progressive career path specializing in credit analysis and credit risk management, risk grading systems, valuation models, and professional training. He was instrumental in the reorganization and development of the credit analysis module of the Bank’s Management Training Program-Finance, which at the time was recognized as one of the foremost training programs in the banking industry.
Professor Glantz is on the (adjunct) finance faculty of the Fordham Graduate School of Business. He has appeared in the Harvard University International Directory of Business and Management Scholars and Research, and has earned Fordham University Deans Award for Faculty Excellence on three occasions. He is a Board Member of the International Standards Board, International Institute of Professional Education and Research (IIPER). The IIPER is a global institute with partners and offices around the world, including the United States, Switzerland, Hong Kong, Mexico, Portugal, Singapore, Nigeria, and Malaysia. Professor Glantz is widely published in financial journals and has authored 8 books.
Affiliations and expertise
Lecturer in Finance & Business Economics, Fordham Graduate School of Business, New York, NY, USA