Credit Engineering for Bankers, 2nd Edition: A Practical Guide for Bank Lending

557 Pages·2010·11.41 MB·English

by  Morton Glantz

Credit Engineering for Bankers
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Credit Engineering for
Bankers
A Practical Guide for Bank Lending,
2nd Edition
Morton Glantz and Johnathan Mun
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Creditengineeringforbankers:apracticalguideforbanklending/editedbyMortonGlantzand
JohnathanMun.
p.cm.
ISBN978-0-12-378585-5
1.Bankloans–Management.2.Credit–Management.3.Asset-liabilitymanagement.
4.Financialriskmanagement.5.Bankmanagement.I.Glantz,Morton.II.Mun,Johnathan.
HG1641.C6652011
332.1’753–dc22
2010033503
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Contents
Foreword xi
Introduction xvii
About The Authors xxiii
Part One New Approaches to Fundamental Analysis 1
1 Introduction to Loan DecisionMaking:The Prism Model 3
2 International Financial Reporting Standards 17
3 Multivariate Ratio Analysis 37
4 CreditAnalysis ofSeasonalBusinesses: AnIntegrated
Approach 61
5 Asset-basedLending 79
6 Cash Flow Analysis 99
7 APrimeron Quantitative Risk Analysis 129
8 Projections and Risk Assessment 185
9 Sustainable Growthand CreditRiskManagement 237
10 Specialized Lending Risk Rating 253
11 Recognition,Diagnosis, and Responseto TroubledLoans 269
12 Strategic Real Options Analysis:Managing Risk Through
Flexibility 295
viii Contents
Part Two Credit Administration 309
13 CapitalAdequacy 311
14 Quantitative Creditand MarketRisk Analysis 333
15 Portfolio Optimization andManagement ofDefaultRisk 377
16 Options Valuation 409
17 ExoticOptions, Options Engineering, and Credit Risk 431
18 Creditand Debt Valuation 453
19 Building Integrated ExposureSystems 469
20 Building Risk-Adjusted PricingModels 489
Index 507
Dedication
This book is dedicated to my grandson Landon Kissell, my greatest treasure in life,
mybest friend forever.
– Morton Glantz
To mywife Pennyandson Jayden, for their unconditional loveand support.
–JohnathanMun