Managing Bank Risk: An Introduction to Broad-Base Credit Engineering [Hardcover]

Morton Glantz (Author)

Book Description

ISBN-10: 0122857852 | ISBN-13: 978-0122857850 | Publication Date: December 18, 2002 | Edition: 1

Featuring new credit engineering tools, Managing Bank Risk combines innovative analytic methods with traditional credit management processes. Professor Glantz provides print and electronic risk-measuring tools that ensure credits are made in accordance with bank policy and regulatory requirements, giving bankers with the data necessary for judging asset quality and value. The book's two sections, "New Approaches to Fundamental Analysis" and "Credit Administration," show readers ways to assimilate new tools, such as credit derivatives, cash flow computer modeling, distress prediction and workout, interactive risk rating models, and probabilistic default screening, with well-known controls. By following the guidelines of the Basel Committee on Banking Supervision, Managing Bank Risk offers useful models, programs, and documents essential for creating a sound credit risk environment, credit granting processes, and appropriate administrative and monitoring controls.

Key Features
* Book includes features such as:
* Chapter-concluding questions
* Case studies illustrating all major tools
* EDFT Credit Measure provided by KMV, the world's leading provide of market-based quantitative credit risk products
* Library of internet links directs readers to information on evolving credit disciplines, such as portfolio management, credit derivatives, risk rating, and financial analysis
* CD-ROM containing interactive models and a useful document collection
* Credit engineering tools covered include:
* Statistics and simulation driven forecasting
* Risk adjusted pricing
* Credit derivatives
* Ratios
* Cash flow computer modeling
* Distress prediction and workouts
* Capital allocation
* Credit exposure systems
* Computerized loan pricing
* Sustainable growth
* Interactive risk rating models
* Probabilistc default screening
* Accompanying CD includes:
* Interactive 10-point risk rating model
* Comprehensive cash flow model
* Trial version of CB Pro, a time-series forecasting program
* Stochastic net borrowed funds pricing model
* Asset based lending models, courtesy Federal Reserve Bank
* The Uniform Financial Institutions Rationg System (CAMELS)
* Two portfolio optimization software models
* a library of documents from the International Swap Dealers Association, the Basel Committee on Banking Supervision, and others

Editorial Reviews

Review

"Mort Glantz has succeeded in writing a book which reformulates proven concepts of credit risk management in the context of contemporary best practice techniques in portfolio management. The invaluable supporting and reference materials make this volume a benchmark publication for the financial community."
-George Votja, Director, Financial Services Forum

"This book should be required reading for the growing number of 'Credit Risk Managers' and 'Credit Risk Departments' at big banks and even community banks. One thing we learned from Enron and other troubled borrowers that did not make it through the 2001-2002 recession is that there can never be too much credit analysis, especially on complicated deals which are becoming the rule rather than the exception. Managing Bank Risk will be one of the most important tools in this regard for bankers, examiners, and others interested in understanding and measuring credit risk."
-Kenneth H. Thomas, The Wharton School, University of Pennsylvania

From the Back Cover

"Mort Glantz has succeeded in writing a book which reformulates proven concepts of credit risk management in the context of contemporary best practice techniques in portfolio management. The invaluable supporting and reference materials make this volume a benchmark publication for the financial community."
-George Votja, Director, Financial Services Forum

"This book should be required reading for the growing number of 'Credit Risk Managers' and 'Credit Risk Departments' at big banks and even community banks. One thing we learned from Enron and other troubled borrowers that did not make it through the 2001-2002 recession is that there can never be too much credit analysis, especially on complicated deals which are becoming the rule rather than the exception. Managing Bank Risk will be one of the most important tools in this regard for bankers, examiners, and others interested in understanding and measuring credit risk."
-Kenneth H. Thomas, The Wharton School, University of Pennsylvania

Featuring new credit engineering tools, Managing Bank Risk combines innovative analytic methods with traditional credit management processes. Professor Glantz provides print and electronic risk-measuring tools that ensure credits are made in accordance with the necessary data to judge asset quality and value.

In chapters on 'New Approaches to Fundamental Analysis' and 'Credit Administration', Managing Bank Risk shows readers how to assimilate new tools such as credit derivatives, cash flow computer modeling, distress prediction and workout, interactive risk rating models and probabilistic default screening, with well known controls. By following the guidelines of the Basel Committee on Banking Supervision, Managing Bank Risk offers useful models, programs and documents essential for creating a sound credit risk environment, credit granting processes and appropriate administrative and monitoring controls.

Key Features:
* Chapter concluding questions.
* Case studies illustrating all major tools.
* Two chapters on 'Portfolio Management of Default Risk' and 'EDFT Credit Measure' provided by KMV, the world's leading provider of market based quantitative credit risk products.
* Library of internet links directing readers to information on evolving credit disciplines such as portfolio management, credit derivatives, risk rating, and financial analysis.
* CD-ROM containing interactive models and a useful document collection.

See all Editorial Reviews

Product Details

• Hardcover: 600 pages
• Publisher: Academic Press; 1 edition (December 18, 2002)
• Language: English
• ISBN-10: 0122857852
• ISBN-13: 978-0122857850
• Product Dimensions: 9.3 x 6.3 x 1.4 inches
• Shipping Weight: 2.2 pounds (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars  See all reviews (5 customer reviews)
• Amazon Best Sellers Rank: #1,383,126 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

10 of 11 people found the following review helpful:

5.0 out of 5 stars Extraordinary, January 13, 2003

By A Customer

This review is from: Managing Bank Risk: An Introduction to Broad-Base Credit Engineering (Hardcover)

Managing Bank Risk, An Introduction to Broad-Base Credit Engineering, takes on a Herculean task of capturing an extraordinarily extensive array of risk management subjects. Having spent several years in my prior career as a Corporate Banker to Fortune 500 Companies, I was familiar with some of the material within the book. However, I found that the most critical tools that I accumulated and have come to rely on have by and large been aggregated and explained clearly through both quantitative and qualitative approaches. Going beyond definitions and methodology, Managing Bank Risk lends focused perspective and context through the use of case studies. Having built various articulating sensitivity models over the course of my career, I appreciated the book's foundation of credit metrics, financial statement analysis with focus on cash flow analysis, proper asset-based lending approaches and detailed explanations of several forecasting techniques. From a pure banking perspective, Mr. Glantz commits significant time to portfolio management, hedging techniques, and understanding derivatives. Having seen only a small fraction of the statistical forecasting tools from business school that Mr. Glantz covers in the book, I found both the theory and practical software-based tools fascinating. Managing Bank Risk also evaluates and lucidly explains many corporate finance concepts and valuation tools such as Real Options and Pricing Models, which I have found important to have a controlling knowledge of in my career as an Investment Banker. Finally, but certainly not in summation, Managing Bank Risk reviews and identifies important Accounting and Corporate Structure insights and lessons that can be taken from recent corporate scandals. Given the sheer volume and quality of topics covered from the most fundamental to some of the most sophisticated, cutting-edge models available today, I would suggest this well-written and comprehensive book as a must-read for business school students or as a reference guide for finance professionals.

3 of 3 people found the following review helpful:

5.0 out of 5 stars Incredible! Leading Resource to Understand Bank Risk, January 9, 2003

By 

Robert Kissell (New York, NY USA) - See all my reviews
(REAL NAME)   

This review is from: Managing Bank Risk: An Introduction to Broad-Base Credit Engineering (Hardcover)

Glantz provides an astonishing and comprehensive overview of current banking practices. The book provides the necessary approaches for managing risk and uncovering discrepancies in today's environment of corporate shenanigans. The chapters on credit derivatives and pricing models are the most impressive of all writings on these subjects and are presented in a very clear and concise manner. Finally, the resources and risk rating system included on the CD is worth the price of the book alone.

2 of 2 people found the following review helpful:

5.0 out of 5 stars Bank Risks, December 30, 2002

By 

Aziz Ur Rahman (Lahore, Pakistan) - See all my reviews

This review is from: Managing Bank Risk: An Introduction to Broad-Base Credit Engineering (Hardcover)

Managing Bank Risks is the definitive handbook on how bank risks should be managed. It presents new, leading edge techniques of risk management in a practical, user-friendly way. The accompanying CD provides underpinning for the risk manager to hone his skills. Morton Glantz has done a superb job, providing the reader with the latest risk management techniques under öne roof"