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管理信用风险：全球金融市场的巨大挑战（第2版）

作者：（美）John B. Caouette（约翰·B. 考埃特）,（美） Edward I. Altman（爱德华·I. 奥尔特曼）,（美） Paul Narayanan（保罗·纳拉亚南）等

出版社：电子工业出版社

出版时间：2024-01-01

ISBN：9787121466564

定价：¥189.00

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内容简介

　　本书针对专业金融人士编写，详细讨论了全球信用市场的情况，涉及从对冲基金作为主要参与者的出现，到评级机构不断增长的影响力等各方面。在对这些问题有了深入理解之后，读者将阅读到一些目前最有效的信用风险管理工具、技术和可用的工具，包括针对小型企业、房地产和新兴市场公司的信用模型、信用风险建模和实践中的违约回收率和违约损失、基于会计数据和市场价值的信用风险模型、信用风险模型的测试和实施、最流行的信用衍生品形式，以及用于分析交易对手信用风险的方法等。在讨论信用风险管理的同时，作者巧妙地将金融市场中的新兴趋势与所提到的新方法结合起来，这将使读者能够迅速将书中概述的教训应用于当今充满活力的信用环境。

作者简介

　　刘洋，数量经济学博士，吉林大学商学与管理学院，副教授，硕士生导师。主持完成博士后科学基金、参与多项课题研究。在核心期刊发表学术论文20余篇。

第1 章信用风险：全球经济的巨大挑战 ·························································· 1
原书参考文献 ................................................................................................................. 16
第2 章信用文化 ····················································································· 18
原书参考文献 ................................................................................................................. 30
第3 章传统金融行业参与者：银行、储蓄机构、保险公司、金融公司和
特殊目的实体 ··············································································· 32
原书参考文献 .................................................................................................................. 45
第4 章组合管理者：投资管理者、共同基金、养老基金和对冲基金 ···················· 46
原书参考文献 .................................................................................................................. 52
第5 章结构化中枢：清算所、衍生产品交易商和交易所 ·································· 53
原书参考文献 .................................................................................................................. 61
第6 章评级机构 ................................................................................................................... 63
原书参考文献 .................................................................................................................. 79
第7 章古典信用分析 ·············································································· 81
原书参考文献 ................................................................................................................. 91
第8 章资产保证型贷款和融资租赁 ····························································· 92
原书参考文献 ................................................................................................................. 99
第9 章信用风险模型简介 ········································································ 100
原书参考文献 ............................................................................................................... 108
第10 章基于会计数据和市场价值的信用风险模型 ········································· 109
原书参考文献 ............................................................................................................... 161
第11章基于股票价格的企业信用风险模型.............................................146
第12 章消费者金融模型 ········································································· 164
原书参考文献 ............................................................................................................... 181
第13 章小企业、房地产和金融机构的信用模型 ············································ 183
原书参考文献 ............................................................................................................... 193
第14 章信用风险模型的测试与实施 ··························································· 195
原书参考文献 ................................................................................................................ 206
第15 章关于公司违约率 ········································································· 207
原书参考文献 ................................................................................................................ 229
第16 章信用风险建模与实践中的违约回收率和违约损失率 ····························· 231
原书参考文献 ............................................................................................................... 252
第17 章信用风险迁移 ············································································ 258
原书参考文献 ............................................................................................................... 268
第18 章投资组合方法介绍 ······································································ 271
原书参考文献 ................................................................................................................ 289
第19 章经济资本与资本配置 ........................................................................................... 291
原书参考文献 ................................................................................................................ 303
第20 章投资组合方法的应用 ··································································· 305
原书参考文献 ................................................................................................................ 337
第21 章信用衍生产品 ············································································ 343
原书参考文献 ............................................................................................................... 364
第22 章交易对手风险 ············································································ 365
原书参考文献 ............................................................................................................... 380
第23 章国家风险模型 ...................................................................................................... 382
原书参考文献 ................................................................................................................ 396
第24 章结构化金融 .......................................................................................................... 399
原书参考文献 ................................................................................................................ 425
第25 章新市场，新玩家，新玩法................................................................................... 428
原书参考文献 ............................................................................................................... 448
第26 章市场混乱，均值回归 ··································································· 451

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