The Handbook of Credit Portfolio Management

Greg N. Gregoriou is Professor of Finance in the School of Business and Economics at the State University of New York, Plattsburgh. He holds a Ph.D. in finance from the University of Quebec in Montreal. Gregoriou specializes in hedge funds, funds of hedge funds, and managed futures. He has published 26 books and more than 50 journal articles and serves as hedge fund editor for the Journal of Derivatives and Hedge Funds and editorial board member of the Journal of Wealth Management and the Journal of Risk Management in Financial Institutions. Christian Hoppe works as senior specialist for securitization and credit derivatives in the credit portfolio management in the corporate banking of Commerzbank AG Frankfurt. Prior to this, he was credit portfolio manager at Dresdner Kleinwort, the Investment Bank arm of Dresdner Bank AG in Frankfurt. He started his career as a Business and Financial Controller for Dresdner Bank. While earning his master's degree, Hoppe served in the Institutional Research Department of Benchmark Alternative Strategies GmbH, Frankfurt. He is the author of Derivatives Based on Alternative Investments.

Section 1: Performance Measurement
1 Implementing Credit Portfolio Management
2 Credit Portfolio Management under IFRS Accounting
3 Basel II Framework and the Impact of a New Regulatory Universe on Credit Asset Management
4 Basel II Expected Loss in Credit Risk Management
5 Credit Risk Capital Allocation and Performance Measurement


Section Two: Evaluation of Credit Risk
6 Characteristics of Credit Assets and relevance for Credit Portfolio Management
7 Measuring Credit Risk with Emphasis on CDOs
8 Model for the Rating Transitions in a SME Bank Loan Portfolio
9 Cost-to-Securitize as a Transfer Pricing Instrument
10 Mark-to-Market Pricing of Illiquid Loans


Section Three: Managing Credit Exposure
11 A New Age of Liquidity for Bank Debt: Reshaping Loan Portfolio Management
12 Bank Loan Syndication
13 CDS and other Credit Derivatives – Valuation and Application
14 Evaluation of Basket Credit Derivatives and STCDO Swaps
15 Classification and Characterization of CDS-Indices
16 Converting Derivatives Credit Risk Into Market RiskSection Four: Credit Portfolio Transactions
17 The Strategies of Hedge Funds in Fixed Income Markets
18 Trading CDS: Illustrating Positive and Negative Basis Arbitrage
19 Securitisation of Shipping Loans
20 Legal Issues in Securitizing Risky Loans
21 "How cheap is zero cost protection"
22 Managing Country Risk
23 The Role of Credit Banks in Corporate Workout-Management
Index