A cutting-edge text on credit portfolio managementCredit risk. A number of market factors are causing revolutionarychanges in the way it is measured and managed at financialinstitutions. Charles Smithson, author of the bestselling ManagingFinancial Risk, introduces a portfolio management approach tocredit in his latest book. Understanding how to manage the inherentrisks of this market has become increasingly important over theyears. Credit Portfolio Management provides readers with a completeunderstanding of the alternative approaches to credit riskmeasurement and portfolio management. This definitive guidediscusses the pricing and managing of credit risks associated witha variety of off-balance-sheet products such as credit defaultswaps, total return swaps, first-to-default baskets, and creditspread options; as well as on-balance-sheet customized structuredproducts such as credit-linked notes, repackage notes, andsynthetic collateralized debt obligations (CDOs). Filled withexpert insight and advice, this book is a must-read for all creditprofessionals.Charles W. Smithson, PhD (New York, NY), is the Managing Partner ofRutter Associates and Executive Director of the InternationalAssociation of Credit Portfolio Managers (IACPM). He is the authorof five books, including The Handbook of Financial Engineering andManaging Financial Risk (now in its Third Edition).

Chapter 1. The Revolution in Credit--Capital Is the Key.PART 1. THE CREDIT PORTFOLIO MANAGEMENT PROCESS.Chapter 2. Modern Portfolio Theory and Elements of the PortfolioModeling Process.Chapter 3. Data Requirements and Sources for Credit PortfolioManagement.Chapter 4. Credit Portfolio Models.PART 2. TOOLS TO MANAGE A PORTFOLIO OF CREDIT ASSETS.Chapter 5. Loan Sales and Trading.Chapter 6. Credit Derivatives.Chapter 7. Securitization.PART 3. CAPITAL ATTRIBUTION AND ALLOCATION.Chapter 8. Capital Attribution and Allocation.Appendix: Statistics for Credit Portfolio Management.References.Index.