Credit Portfolio Management

1. Front Matter

   Pages i-xxv

   PDF

2. Charting the Course — Credit Risk Strategies

   1. Front Matter

      Pages 1-1

      PDF

   2. The Case for Credit Portfolio Management

      • Michael Hünseler

      Pages 3-17

   3. Credit Risk Strategies

      • Michael Hünseler

      Pages 18-44

   4. What If: Credit Risk Stress Testing

      • Michael Hünseler

      Pages 45-61

3. Credit Portfolio Management in Practice

   1. Front Matter

      Pages 63-64

      PDF

   2. Evolution of Portfolio Management Business Models

      • Michael Hünseler

      Pages 65-108

   3. Accounting Complexity and Implications

      • Michael Hünseler

      Pages 109-144

   4. Regulatory Capital Management under Basel II

      • Michael Hünseler

      Pages 145-158

4. Hedging Techniques and Toolkits

   1. Front Matter

      Pages 159-163

      PDF

   2. CDS: Hedging of Issuer and Counterparty Risks

      • Michael Hünseler

      Pages 165-206

   3. Loan Credit Derivatives, Subparticipations and Credit Indices

      • Michael Hünseler

      Pages 207-223

   4. Hedge Strategies for Baskets, Swaptions, and Macro Hedges

      • Michael Hünseler

      Pages 224-250

5. Back Matter

   Pages 251-258

   PDF

Credit Portfolio Management is a topical text on approaches to the active management of credit risks. The book is a valuable, up to date guide for portfolio management practitioners. Its content comprises of three main parts: The framework for managing credit risks, Active Credit Portfolio Management in practice and Hedging techniques and toolkits.

• accounting
• Basel II
• capital
• Credit Derivatives
• Credit Risk
• derivatives
• hedging
• management
• portfolio
• portfolio management
• banking

'Credit portfolio management is at the heart of the current banking crisis, and this book offers practitioners a complete and comprehensive guide to the subject. Various case studies add a real world element to the theory presented in the book while also offering in-depth instruction on how to avoid the pitfalls of active credit risk management.'

- Tim Jennison, Managing Director, Morgan Stanley, UK

'Tackling a complex subject, this book makes it greatly accessible. Its non-technical, real life orientation from actual developments makes it absolutely useful for practitioners. The book's structure along the lines of the credit value chain ensures that all key areas are well covered, providing an insightful, updated, and comprehensive guide.'

- Luis Maglanoc, CFA. Global Head of Credit Research, UniCredit Bank AG, Germany

'Michael Huenseler gives a comprehensive overview of all relevant aspects of credit portfolio management from a bank's perspective. His detailed and articulate explanation of credit default swaps as hedging instrument, highlighted through various practical examples from recent experience, provide valuable insight not only with regards to effectiveness but also to its repercussions to the wider market place.'

- Marion Stommel-Hatzidimoulas, Head of Credit, Legal & General Investment Management, UK

'The quality of the (active) credit portfolio management (ACPM) unit will have an increasingly significant impact on the success and the stability of the banks. The answers to the majority of the questions raised by the new regulatory framework(s) plus all the additional limitations can be found there. In this regard Michael created an all-embracing compendium, it is a must-read for all active credit portfolio managers who want to be prepared for the upcoming challenges of ACPM 2.0.'

- Christian Hoppe, Head of Credit Solutions, Mittelstandsbank of Commerzbank AG Frankfurt, Germany

'I've known Michael Hünseler for several years in his capacity as an Active Credit Portfolio Management professional. His new book provides both a theoretical and practical guide to the value and potential pitfalls of running an ACPM group within a large commercial bank. I highly recommend the book to anyone looking to improve the performance of a bank credit portfolio through more advanced ACPM practices.'

- Allan Yarish, Portfolio Manager, Channel Capital Advisors, UK

• Assenagon Asset Management S.A., Germany

  Michael Hünseler

Michael Hünseler is currently Head of Credit Portfolio Management at Assenagon Asset Management. Previously, he was Head of Credit Risk Strategies and Analytics at Unicredit Group, and Head of Active Credit Portfolio Management at Hypovereinsbank. Prior to this, Michael was responsible for developing the corporate bond, high yield and structured products business as Head of Credit at Deka Investment. Michael is one of 50 people who were honored in the Credit Magazine's Hall of Fame for his achievements in the European corporate debt market, and was awarded "Credit Portfolio Manager Of The Year 2007" by Risk magazine.

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