Pre-order: Credit Risk Measurement and Management: Disruption and Evolution - coming October 2019 - Risk Books
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Pre-order: Credit Risk Measurement and Management: Disruption and Evolution - coming October 2019

By Jing Zhang & Amnon Levy

Overview

Credit risk management is in an evolutionary state.

This evolution affects players globally in complex ways, changing how businesses must operate and adapt their risk practices.

Cultural shifts toward quantitative methods that leverage large amounts of data have entered into an environment that has thus far relied upon relationships and subjectivity. Against a backdrop of further regulatory requirements and a dynamic political and economic environment, new Fintech entrants are disrupting and forcing incumbents to accept the strident reality and to evolve.

Credit Risk Measurement and Management: Disruption and Evolution, edited by Amnon Levy and Jing Zhang, provides a comprehensive treatment of the subject, explaining how credit portfolio management and credit markets have evolved and will evolve further in this new era. The book explains the new requirements, presents implementation solutions, and discusses the operational and business impacts.

Publish date: 31 Oct 2019

Availability: Out of stock

£145.00

Book description

Credit risk management is in an evolutionary state.

This evolution affects players globally in complex ways, changing how businesses must operate and adapt their risk practices.

Cultural shifts toward quantitative methods that leverage large amounts of data have entered into an environment that has thus far relied upon relationships and subjectivity. Against a backdrop of further regulatory requirements and a dynamic political and economic environment, new Fintech entrants are disrupting and forcing incumbents to accept the strident reality and to evolve.

Credit Risk Measurement and Management: Disruption and Evolution, edited by Amnon Levy and Jing Zhang, provides a comprehensive treatment of the subject, explaining how credit portfolio management and credit markets have evolved and will evolve further in this new era. The book explains the new requirements, presents implementation solutions, and discusses the operational and business impacts. With contributions from leading practitioners and regulatory experts, subjects covered include:

  • An Exploration of the Evolution of Risk: Past, Present and Future
  • Risk Trading, Risky Debt and Financial Stability
  • Climate Change: Managing a New Financial Risk
  • The Evolution of the CLO Market
  • Innovation and Digitisation in Credit
  • Machine Learning and Artificial Intelligence in Credit Risk Analytics
  • Disruption of Credit Portfolio Management in Illiquid Credit Markets
  • An essential text for all those involved in credit portfolio management and risk management as well as regulators, auditors and academics among many others, this book will equip readers with the tools they need to understand and operate in the changing credit market.

    Book details

    ISBN
    978-1-78272-413-1
    Publish date
    31 Oct 2019
    Format
    Paperback
    Size
    230mm x 280mm

    Author biography

    Jing Zhang & Amnon Levy

    Dr. Jing Zhang is a Managing Director and the Global Head of Moody’s Analytics  Research and Modeling Group. Rooted in the pioneering efforts of B&H and  KMV, the group is responsible for the quantitative modeling behind the EDF and LGD models for both public and private firms, commercial real estate, and portfolio and balance sheet analytics for banks and insurance firms. Jing joined the research team at the former KMV in 1998, eventually becoming a Director in the Research Group. In that role, besides managing day-to-day research operations, he made major contributions to a number of KMV quantitative models. Since then, Jing has held a number of additional senior roles at Moody’s KMV in Product Management and the Client Solutions Group, and he has many years of experience advising clients on risk management issues. Jing obtained his PhD from the Wharton School of the University of Pennsylvania and his MA from Tulane University. He was  a lecturer for the Master of Financial Engineering program at the University of California, Berkeley from 2010 to 2012.  His research papers have been published in both academic and industry journals, such as the Journal of Time Series, the Journal of Fixed Income, Journal of Credit Risk, and the Journal of Risk Model Validation.  He is also the editor of Risk book CCAR and Beyond (2014).

    Dr. Amnon Levy is a Managing Director in the Research and Modeling Group of Moody’s Analytics. He Heads the Portfolio and Balance Sheet Research group that is responsible for research and quantitative services related to Moody’s Analytics’ portfolio, balance sheet, stress testing, and impairment solutions. The team designs solutions that bring together regulatory requirements, accounting standards and economic risks in credit valuation, and portfolio, capital and balance sheet management. The team is also exploring how to manage credit in the face of climate risk, and the use of artificial intelligence and machine learning in portfolio strategy design. Dr. Levy holds a B.A. in Economics from the University of California at Berkeley and a Ph.D. in Finance from the Kellogg Graduate School of Management, Northwestern University. Prior to joining Moody’s Analytics (originally KMV), Dr. Levy was a visiting assistant professor at the Stern School of Business, New York University, and the Haas School of Business, University of California at Berkeley, and had worked at the Board of Governors of the Federal Reserve System. Dr. Levy’s research has been widely published in academic and practitioner journals including the Journal of Financial Economics, Journal of Monetary Economics, Journal of Banking and Finance, and Journal of Risk Model Validation. He has also contributed to a number of books, including chapters in CCAR and Beyond - Capital Assessment, Stress Testing and Applications, and The New Impairment Model Under IFRS 9 and CECL.

    Table of contents

    I. Introduction

    Jing Zhang & Amnon Levy

    Part 1 - Perspectives from Participants on Evolution and Disruption

    1. An Exploration of the Evolution of Risk: Past, Present and Future

    Nick Silitch

    2. Toward Market-Based Credit Intermediation

    Steve Kealhofer, Richard Donick DCI

    3. Skating on Thinner Ice: Macroeconomic Outlook at the End of the Credit Cycle

    Nouriel Roubini

    4. Climate Change Managing a New Financial Risk

    Andy McGee, Ilya Khaykin and Alban Pyanet, Oliver Wyman

    5. The Quest to Save Risk-Weighted Assets

    Chris Finger, Fed

    6. The Evolution of the CLO Market Since GFC and Valuation Approaches to CLO Tranches

    Kashyap Arora, Kimito Iwamoto, Alex Nerguizian

    Part 2 - Digitisation in Banking and Credit

    7. Homo Ex Machina: Banking Rebooted

    Leo Jacobo (SmartBiz) and Ilyssa Weinstein

    8. Innovation and Digitization in Credit

    Alex LaPlante and Charlotte Watson, Global Risk Institute

    9. The lending revolution: how digital credit is changing banks from the inside

    Gerald Chappell, Holger Harries etc, McKinsey

    10. Digital Lending in Asia Disruption and Continuity

    Terry Tse

    Part 3 - Disrupting and Navigating Disruption with New Tools and Techniques

    11. Digitisation and Automation in Commercial Lending: Disruptions without Distractions

    Stephen Tulenko, John Baer, Elaine Wong, Moody?s Analytics

    12. Credit risk management in the era of big data: from estimation to authentication

    Xianxin Zhao, Shanghai Pudong Development Bank

    13. Machine Learning and Artificial Intelligence in Credit Risk Analytics ? Past, Present and Future

    Doug Dwyer, Tony Hughes and Ashit Talukder, Moody's Analytics

    14. Integrated Loan Portfolio Modelling and Risk Management

    Jiwen Liu and Michael Szwejbka, US Bank

    15. The Role of Banks in Illiquid Credit Markets and the Disruption and Evolution of Credit Portfolio Management

    Amnon Levy and Pierre Xu, Moody?s Analytics

    Epilogue

    Credit through the Lens of Anthropology, Economics and Technology

    Jing Zhang

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