Glantz / Mun Credit Engineering for Bankers

A Practical Guide for Bank Lending
2. Auflage 2010
ISBN: 978-0-12-378586-2
Verlag: Elsevier Science & Techn.
Format: EPUB
Kopierschutz: 6 - ePub Watermark

E-Book, Englisch, 556 Seiten

More efficient credit portfolio engineering can increase the decision-making power of bankers and boost the market value of their banks. By implementing robust risk management procedures, bankers can develop comprehensive views of obligors by integrating fundamental and market data into a portfolio framework that treats all instruments similarly. Banks that can implement strategies for uncovering credit risk investments with the highest return per unit of risk can confidently build their businesses. Through chapters on fundamental analysis and credit administration, authors Morton Glantz and Johnathan Mun teach readers how to improve their credit skills and develop logical decision-making processes. As readers acquire new abilities to calculate risks and evaluate portfolios, they learn how credit risk strategies and policies can affect and be affected by credit ratings and global exposure tracking systems. The result is a book that facilitates the discipline of market-oriented portfolio management in the face of unending changes in the financial industry. - Concentrates on the practical implementation of credit engineering strategies and tools - Demonstrates how bankers can use portfolio analytics to increase their insights about different groups of obligors - Investigates ways to improve a portfolio's return on risk while minimizing probability of insolvency

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.

Autoren/Hrsg.

Glantz, Morton

Mun, Johnathan

Inhaltsverzeichnis

1;Front Cover;1
2;Credit Engineering for Bankers;4
3;Copyright;5
4;Contents;8
5;Dedication;10
6;Foreword;12
7;Introduction;18
8;About The Authors;24
9;Part One -New Approaches to Fundamental Analysis;28
9.1;Chapter 1 Introduction to Loan Decision Making: The PRISM Model;30
9.1.1;Management;32
9.1.2;Intention (Purpose);35
9.1.3;Repayment;36
9.1.4;Internal Repayment Sources: Short-Term Loans;36
9.1.5;External Repayment Sources: Short-Term Loans;38
9.1.6;Internal Repayment Sources: Long-Term Loans;39
9.1.7;External Repayment Sources: Long-Term Loans;40
9.1.8;Safeguards;40
9.1.9;Perspective;42
9.2;Chapter 2 International Financial Reporting Standards;44
9.2.1;The Tie Between Bankers and Auditors;46
9.2.2;A Review of Accounting Principles;53
9.2.3;Financial Reports;55
9.3;Chapter 3 Multivariate Ratio Analysis;64
9.3.1;The Role of Ratios;65
9.3.2;Ratio Trends;69
9.3.3;Liquidity Ratios;72
9.3.4;Activity or Turnover Ratios;73
9.3.5;Profitability Ratios;76
9.3.6;Leverage Ratios;80
9.3.7;Growth Ratios;82
9.3.8;Valuation Ratios;83
9.3.9;Statistical Analysis of Ratios: Decomposition Analysis;84
9.4;Chapter 4 Credit Analysis of Seasonal Businesses: An Integrated Approach;88
9.4.1;Types of Seasonal Businesses;88
9.4.2;Successful and Unsuccessful Seasonal Cycles;89
9.4.3;Techniques for Evaluating Seasonal Lending;91
9.4.4;Defensive Measures;97
9.5;Chapter 5 Asset-Based Lending;106
9.5.1;Market Segments;107
9.5.2;Basic Axioms of Asset-Based Lending;108
9.5.3;Security Interest;109
9.5.4;Loans Secured with Accounts Receivables;112
9.5.5;The Audit: Scope and Details;114
9.5.6;Loans Secured by Inventories;120
9.5.7;Loans Secured by Marketable Securities;123
9.5.8;Collateral Module in Risk Rating;124
9.6;Chapter 6 Cash Flow Analysis;126
9.6.1;Introduction to Analysis;128
9.6.2;Indirect Method of Cash Reporting: The Banker’s Cash Flow;129
9.6.3;Direct Method of Reporting Cash;129
9.6.4;Cash Flow Workshop;136
9.6.5;Other Important Reconciliations Bankers Consider;145
9.6.6;Cash Flow Analysis: Generic Points;150
9.6.7;Cash Flow Analysis: Constituent Points;151
9.6.8;Conclusion;155
9.7;Chapter 7 A Primer on Quantitative Risk Analysis;156
9.7.1;A Brief History of Risk: What Exactly Is Risk?;157
9.7.2;The Nature of Risk and Return;157
9.7.3;Uncertainty versus Risk;161
9.7.4;Risk Simulation Applications;163
9.7.5;Running a Monte Carlo Simulation;165
9.7.6;Using Forecast Charts and Confidence Intervals;177
9.7.7;Correlations and Precision Control;178
9.8;Chapter 8 Projections and Risk Assessment;212
9.8.1;Different Types of Forecasting Techniques;214
9.8.2;Running the Forecasting Tool in Risk Simulator;217
9.8.3;Time-Series Analysis;217
9.8.4;Multivariate Regression;221
9.8.5;Stochastic Forecasting;225
9.8.6;Nonlinear Extrapolation;229
9.8.7;Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) Advanced Time-Series;231
9.8.8;Auto ARIMA (Box-Jenkins ARIMA Advanced Time-Series);235
9.8.9;Basic Econometrics;236
9.8.10;J-Curve and S-Curve Forecasts;238
9.8.11;Generalized Autoregressive Conditional Heteroskedasticity (GARCH) Volatility Forecasts;239
9.8.12;Markov Chains;243
9.8.13;Limited Dependent Variables using Maximum Likelihood Models on Logit, Probit, and Tobit;243
9.8.14;Spline (Cubic Spline Interpolation and Extrapolation);246
9.8.15;“Sensitivity” Financial Forecasting;248
9.8.16;Exercise: Forecasting;255
9.9;Chapter 9 Sustainable Growth and Credit Risk Management;264
9.9.1;The Sustainable Growth Model;266
9.9.2;Solving Sustainable Growth Problems;272
9.9.3;Curve Fitting;277
9.10;Chapter 10 Specialized Lending Risk Rating;280
9.10.1;Project Finance;282
9.10.2;Object Finance;287
9.10.3;Commodities Finance;288
9.10.4;Income-Producing Real Estate, High-Volatility Commercial Real Estate Exposures, and Real Estate Projects Under Construction;290
9.10.5;Riga Deal Analysis: Financing a Residential Complex and Shopping Mall;294
9.11;Chapter 11 Recognition, Diagnosis, and Response to Troubled Loans;296
9.11.1;Financial Distress Models;298
9.11.2;Other Models;302
9.11.3;Loan Classification;303
9.11.4;The Classified Loan Write-Up;305
9.11.5;Workout;306
9.11.6;A Lender’s Liability Help Line;309
9.11.7;Loan Restructuring: A Workout Decision;311
9.11.8;Corporate Valuation Model: A View of Liquidation versus Restructuring Decisions;312
9.11.9;Bankruptcy;314
9.11.10;Debtor-in-Possession Financing;317
9.12;Chapter 12 Strategic Real Options Analysis: Managing Risk Through Flexibility;322
9.12.1;What Are Real Options?;323
9.12.2;The Real Options Solution in a Nutshell;324
9.12.3;Issues to Consider;325
9.12.4;Implementing Real Options Analysis;326
9.12.5;Types of Real Options Strategies;327
9.12.6;Execution Option Types;328
9.12.7;Industry Leaders Embracing Real Options;328
9.12.8;Real Options Example in Banking: Asset Liability Management;331
10;Part Two -Credit Administration;336
10.1;Chapter 13 Capital Adequacy;338
10.1.1;Functions of Bank Capital;338
10.1.2;A Historical Perspective;341
10.1.3;The Basel Accords;342
10.1.4;Accounting, Economic, and Regulatory Defined Value;343
10.1.5;Regulatory Denominated Capital (Regulatory Accounting);346
10.1.6;Regulatory Capital Features13;352
10.1.7;Capital Ratios;357
10.1.8;Capital Adequacy: Establishing a Technical Framework;358
10.2;Chapter 14 Quantitative Credit and Market Risk Analysis;360
10.2.1;Probability of Default;362
10.2.2;Empirical Models of Probability of Default;367
10.2.3;Economic Capital and Value at Risk;371
10.2.4;Efficient Portfolio Allocation and Economic Capital VaR;379
10.3;Chapter 15 Portfolio Optimization and Management of Default Risk;404
10.3.1;Optimization Procedures;405
10.3.2;Continuous Optimization;407
10.3.3;Efficient Frontier and Advanced Optimization Settings;414
10.3.4;Stochastic Optimization;415
10.3.5;Illustrative Example: Portfolio Optimization and the Effects on Portfolio Value at Risk;422
10.3.6;Exercise: Optimization;423
10.4;Chapter 16 Options Valuation;436
10.4.1;Options Valuation: Behind the Scenes;436
10.4.2;Binomial Lattices;440
10.4.3;The Look and Feel of Uncertainty;442
10.5;Chapter 17 Exotic Options, Options Engineering, and Credit Risk;458
10.5.1;Common Credit Derivatives;459
10.5.2;OTC Exotic Options;460
10.6;Chapter 18 Credit and Debt Valuation;480
10.6.1;Illustrations in Credit Analysis;480
10.6.2;Illustrations in Debt Analysis;486
10.7;Chapter 19 Building Integrated Exposure Systems;496
10.7.1;GES Structure;497
10.7.2;GES and Loan Concentrations;502
10.7.3;GES and Assessment of Capital Adequacy;503
10.7.4;Liquidity Concerns;504
10.7.5;Customer Relationships and Marketing;504
10.7.6;GES and Disclosure to Outsiders;505
10.7.7;GES and Reports to the Board of Directors;507
10.7.8;Cross-Border Exposure Reporting;508
10.7.9;Exposure Information Systems: Design;508
10.7.10;Final Thoughts;514
10.8;Chapter 20 Building Risk-Adjusted Pricing Models;516
10.8.1;Loan Pricing Models;519
10.8.2;Stochastic Net Borrowed Funds Pricing Model;521
10.8.3;Output Screen and Yield Calculation;527
10.8.4;Moving From Deterministic Pricing to a Stochastic Pricing Solution;529
10.8.5;Loan Pricing Lessons;532
11;Index;534