Credit Portfolio Management: A Practitioner's Guide to the Active Management of Credit Risks (Global Financial Markets) - Tapa dura

'Credit portfolio management is at the heart of the current banking crisis, and this book offers practitioners a complete and comprehensive guide to the subject. Various case studies add a real world element to the theory presented in the book while also offering in-depth instruction on how to avoid the pitfalls of active credit risk management.'

- Tim Jennison, Managing Director, Morgan Stanley, UK

'Tackling a complex subject, this book makes it greatly accessible. Its non-technical, real life orientation from actual developments makes it absolutely useful for practitioners. The book's structure along the lines of the credit value chain ensures that all key areas are well covered, providing an insightful, updated, and comprehensive guide.'

- Luis Maglanoc, CFA. Global Head of Credit Research, UniCredit Bank AG, Germany

'Michael Huenseler gives a comprehensive overview of all relevant aspects of credit portfolio management from a bank's perspective. His detailed and articulate explanation of credit default swaps as hedging instrument, highlighted through various practical examples from recent experience, provide valuable insight not only with regards to effectiveness but also to its repercussions to the wider market place.'

- Marion Stommel-Hatzidimoulas, Head of Credit, Legal & General Investment Management, UK

'The quality of the (active) credit portfolio management (ACPM) unit will have an increasingly significant impact on the success and the stability of the banks. The answers to the majority of the questions raised by the new regulatory framework(s) plus all the additional limitations can be found there. In this regard Michael created an all-embracing compendium, it is a must-read for all active credit portfolio managers who want to be prepared for the upcoming challenges of ACPM 2.0.'

- Christian Hoppe, Head of Credit Solutions, Mittelstandsbank of Commerzbank AG Frankfurt, Germany

'I've known Michael Hünseler for several years in his capacity as an Active Credit Portfolio Management professional. His new book provides both a theoretical and practical guide to the value and potential pitfalls of running an ACPM group within a large commercial bank. I highly recommend the book to anyone looking to improve the performance of a bank credit portfolio through more advanced ACPM practices.'

- Allan Yarish, Portfolio Manager, Channel Capital Advisors, UK

With the banking industry in flux and the credit business at its core, Credit Portfolio Management is a timely and practical guide on how to successfully manage a credit portfolio in light of a challenging market environment and increased regulatory scrutiny.

Structured in line with a credit value chain, Part I deals with the framework in which credit risk is originated and managed. It comprises of three chapters: a brief description of the role that credit risk played in the financial crisis and thereafter; the credit risk strategies which aim at optimizing the risk/return profile of the portfolio under the condition of adequate capital; and finally an introduction to stress tests which support a proactive and forward looking approach to portfolio management by allowing the quantification of improbable but plausible outcomes.
 
In Part II, conceptual aspects of an Active Credit Portfolio Management (ACPM) are discussed. It ranges from the description of the value proposition to a full credit cycle approach to portfolio management. Since in most organizations a loan transfer pricing scheme underpins the internal role of ACPM to optimize the risk and the return side of credit portfolio, it is given due consideration. Part II also reviews practical aspects of the implementation of ACPM, and dedicates a chapter to the accounting symmetry of credit derivative hedges and loans. It concludes with an overview of regulatory capital relief.

Part III focuses on the back end management of a credit portfolio where corrective actions are usually carried out by use of controversial credit default swaps. Michael provides a non technical, detailed description of CDS as a hedging tool for credit portfolio managers whilst also introducing other hedge instruments such as Loan CDS and sub-participations.

A number of case studies are used throughout the book to illustrate the various topics in a real world setting.