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Credit Risk Management and

Basel II
An implementation guide
By Mohan Bhatia
Published in association with
Price:
99 / $178 / 149
Binding: Hardback
Book Size: Royal Octavio
(155mm x 235mm)
Pages: 478pp
ISBN: 1904339433
Table of
Contents
Author
biography
Sample pages
Index page
Summary
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Out now! With the entire financial sector across the globe working on the
implementation of the 2004 Basel II Accord in some form and intensity, there is
much work to be done at bank level. Credit Risk Management gives you the
means to put in place the credit risk measurement and management framework,
policies, procedures and practices that are needed.
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Summary
As a unique implementation guide covering the entire spectrum of credit risk
management, this book will assist you with your credit risk policy and help you to
facilitate the establishment of risk processes and procedures.
Having assessed the vast amount of existing literature on this subject Bhatia found
the bulk of it to be deficient in many areas, this book fills in the gaps for you by:
Approaching explanations from a non- mathematical perspective, with the spirit
behind the mathematics and equations explained in an accessible manner;
Taking a holistic approach, with an end-to-end analysis of the credit risk problem;
and
Absorbing and integrating best practices echoed by the Basel Accord.
An excellent framework for analysis and implementation is provided and this
information will be beneficial for a wide range of people from risk managers and
compliance officers to credit risk administration personnel, front and middle office
personnel, and students of GARP or financial engineering.
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Table of contents
Chapter 1. Introduction to Credit Risk Management

Challenge of credit risk management

What is credit risk?
Importance of credit risk measurement
Analysing credit loss
Analysing credit event
Components of credit risk
Measurement framework
Types of credit risk
Developments on the regulatory side (BIS framework)

SECTION I RISK COMPONENTS

Chapter 2. Measuring Default

Defining default
Measuring PD
Estimating ex-ante PD
Transition Matrix
Whether rating really measures PD
Uses of PD

Chapter 3. Credit Scoring

Introduction
Issues in credit scoring
Uses of credit scoring
Credit scoring techniques
Discriminant analysis
Logit model
Neural networks
Search for the best method
Case studies

Chapter 4. PD Models
Building blocks for market information based models
Structural models
Reduced form models
Chapter 5. Credit Rating
Business risk assesment methodology
Assessing financial strength
Sovereign credit rating
Credit structures
A generic rating process
External rating
Internal ratings
Chapter 6. Risk Mitigation Techniques
Risk mitigation techniques
Collateral
Credit risk transfers
Securitisation
Credit derivatives
Chapter 7. Loss Given Default

Introduction

LGD under Basel II

Measurement and Estimation of LGD
Factors determining recovery rates
Business requirements for an information system for recording recovery

CREDIT RISK ARCHITECTURE

Chapter 8. Credit Risk Fortification
Introduction
Credit risk management policies, processes and standards
Accounting policies under risk management regime
Credit Risk Organisation structure
Transition from controlling risks to managing risks
Managing Credit Risk
Active portfolio management
Chapter 9. Portfolio Management

Introduction
Componentisation, approximation and substitution
Define risk components
Identify risk factors
Transforming risk factors into risk components
Generate risk components distribution
Generate portfolio loss distribution
Applications of portfolio loss distribution
Case studies

Chapter 10. Model Validation

Risk Component Measurement
Validation techniques
Model risk
Model validation techniques
Stress Testing
Best practices
Chapter 11. Software and Data

Introduction
Data collection and analysis systems
Credit rating systems
Collateral management systems
Loss given default systems
Regulatory capital estimation systems
Portfolio management systems

Data sources
Preparing Basel II

Bibliography
Author biography
Mohan Bhatia is a Senior Principal Consultant for Basel II Practice at I-flex where
he is currently spearheading Reveleus Basel II implementation. Possessing a very
rare combination of skills in banking, risk management and IT, over the last four
years he has helped banks prepare for Basel II implementation. This includes
designing a solution for credit risk management in Japan, and a risk management
solution for a bank in Jakarta where he also worked as a technology risk manager to
prepare the bank for operational risk management.
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Sample pages
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Index page
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