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1、AdvancedCreditRiskAnalysisandManagement.CibyJoseph.©2013CibyJoseph.Published2013byJohnWiley&Sons,Ltd.Index5CsModel24–25ITA110–1125ForcesModel,Porter67–71,73–7projectfinance200workingcapital208–210,219,220,234ABSseeAssetBackedSecuritiesbankruptcy9–10,2
2、0,269accountinganalysis105–107banks/bankingAccountingRateofReturn(ARR)189commercialbanks11activecreditportfoliomanagement242–243confidenceissues383–384activityratios126–128CRAessentials17AdjustableRateMortgages(ARMs)253creditbubbles387–388AIG329–330,3
3、90,396,400creditcreation382–383AirIndia90guarantees368Altman,EdwardI.135–136roleofbanks382America’sHomeownershipChallenge393,397ultimateuseofcredit384–385ARMsseeAdjustableRateMortgagesWCproblems229ARRseeAccountingRateofReturnseealsoCreditCrisis2008;in
4、dividualbanksAssetBackedSecurities(ABS)319bargainingpower67,69–70,75–76assetsBaselAccords285–302creditassettrading317–322,409–410BaselI286–288financing233BaselII288–296liquidation231BaselIII296–299managementratios126–128capitaladequacy300–302PScorrela
5、tions312–313KellyCriterion300–302sales/marketing244BaselCommitteeonBankingSupervisiontradablecreditassets409–410(BCBS)assignmentbasis,syndicatedloans318285assignmentofdebtors369BaselI286–288‘atsight’lettersofcredit233capital286auditedfinancialstatemen
6、ts101–102criticisms287–288averagedepreciation128RWA286aviationindustry70–71,79,89,90BaselII288–296capitaladequacy293–294balanceofpayments51–52componentsdiagram289balancesheets103–104creditriskapproaches289–293casestudy136–138criticisms295–296covenants
7、374–375marketdiscipline289CSA108–109minimumcapitalrequirements288416IndexBaselII(Continued)Porter’sModel67,69–70,76RWA293–294protection326,330supervisoryreview288–289threepillars288–289capitalBaselIII296–299BaselI286componentsdiagram297BaselII288credi
8、triskmeasurement297–298costof340futurecrises299creditportfolios245–246BCBSseeBaselCommitteeonBankingLTCM388–390Supervisionminimumrequirements288BearStearns390,395–396,402RAROC349–351,363–364BEPseebreak-evenpointregulatory246,277–278beta,portfo
