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Author:   Michael K. Ong
Publisher:   Risk Books
Imprint:   Risk Books
ISBN:  

9781899332694

ISBN 10:   1899332693
Pages:   300
Publication Date:   15 October 2002
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

Rating credits Introduction Michael Ong 1. The A to Z of Standard and Poor's Ratings Chris Dinwoodie of Standard and Poor's 2. Historical Corporate Rating Migration, Default and Recovery Rates David Hamilton of Moody's Investors Service 3. Cyclical Effects in Credit Risk Ratings and Default Risk Linda Allen of Zicklin School of Business, Baruch College, City University of New York and Anthony Saunders of Stern School of Business, New York University Rating agencies Introduction Michael Ong 4. An Analysis of the Credit Rating Industry Lawrence J. White of Stern School of Business, New York University 5. The Meaning of Agency Ratings: A Behavioural Model of Rating Assignment Sean C. Keenan and Jorge R. Sobehart of CitiGroup Risk Architecture 6. Hybrid Contingent Claims Models: A Practical Approach to Modelling Default Risk Jorge R. Sobehart and Sean C. Keenan of CitiGroup Risk Architecture Credit scoring techniques Introduction Michael Ong 7. Revisiting Credit Scoring Models in a Basel II Environment Edward I. Altman of Stern School of Business, New York University 8. Credit Scoring for Corporate Debt Eric Falkenstein of Deephaven Capital Management 9. Scoring and Validating Techniques for Credit Risk Rating Systems Sebastian G. Fritz, Lars Popken and Christian Wagner of Credit Risk Management, Risk Analytics and Instruments, Deutsche Bank AG 10. Replicating Agency Ratings through Multinomial Scoring Models Andrea Resti of Bergamo University 11. Capital Ratios and Credit Ratings as Predictors of Bank Failures Arturo Estrella and Stavros Peristiani of Federal Reserve Bank of New York and Sangkyun Park of Office of Management and Budget Regulatory issues on credit ratings Introduction Michael Ong 12. Regulatory use of Credit Ratings: Implications for Banks, Supervisors and Markets. Barbara C. Matthews of Institute of International Finance 13. Regulatory Capital Based on Bank Internal Ratings of Credit Risk Jeffrey A. Brown of Risk Analytics Division, Office of the Comptroller of the Currency 14. Supervisory and Regulatory Concerns Regarding Bank Internal Rating Systems Jose A. Lopez of Federal Reserve Bank of San Francisco and Marc R. Saidenberg of Federal Reserve Bank of New York 15. Regulatory Issues on Credit Ratings David M. Rowe, Dean Jovic and Marcel Beutler of SunGard Trading and Risk Systems Internal rating systems of banks Introduction Michael Ong 16. Credit Culture Dev Strischek of SunTrust Bank Inc 17. Internal Risk Rating Systems Michel Crouhy, Dan Galai and Bob Mark of CIBC 18. The New Capital Accord and Internal Bank Ratings Donald R. van Deventer and Jaqueline Outram of Kamakura Corporation 19. Designing and Implementing Effective Credit Rating Systems Thomas Garside and Jonathon Greenman of Oliver, Wyman & Company 20. Preparing for the Internal Ratings-Based Approach Andrea Szczesny and Ralf Ewert of Johann Wolfgang Goethe University, Frankfurt 21. Some Evidence on the Consistency of Banks' Internal Ratings Mark Carey of Federal Reserve Board Credit ratings of asset securitisations Introduction Michael Ong 22. Measuring Portfolio Credit Risk with Default Experience Statistic (DES) Arthur M. Berd of Lehman Brothers 23. EL and DP Approaches to Rating CDOs and the Scope for Ratings Shopping William Perraudin and Vladislav Peretyatkin of Birkbeck, University of London 24. Rating Based on Credit Portfolio Models Ludger Overbeck and Hans Lotter of Deutsche Bank AG

Reviews

'Michael Ong's book Credit Ratings: Methodology, Rationale and Default Risk published by Risk Books is very timely. The book contains a wealth of useful ideas. Most people concerned with credit risk evaluation will find this book a useful acquisition.' John Hull, December 2002

Author Information

Dr. Michael K. Ong is an Executive Vice President and Chief Risk Officer for the Americas for Credit Agricole Indosuez in New York. He has enterprise-wide responsibility for all risk management functions for the Carr Futures Group globally and CAI's North American entities. He is a member of the Executive Committee and additionally, he is a member of the board for Carr Global Advisors. Before joining Credit Agricole Indosuez Michael was the senior vice president and head of enterprise risk for ABN Amro Bank. There he was responsible for the management of information and decision support function for the executive committee on enterprise-wide market, operational, credit and liquidity risk, as well as RAROC and ROE models. Prior to this Michael headed the corporate research unit at First Chicago NBD Corporation, where he was chair of the global risk management research council and head of the market risk analysis unit. He was previously also responsible for quantitative research at Chicago Research and Trading Group (now Nations Banc-CRT) and has served as an assistant professor of mathematics at Bowdoin College. Michael is also an adjunct professor at the Stuart School of Business of the Illinois Institute of Technology. He received a BS degree in physics, cum laude, from the University of the Philippines and degrees of MA in physics and MS and PhD in applied mathematics from the State University of New York at Stony Brook. Michael is a member of the editorial boards of the Journal of Financial Regulation and Compliance and the Journal of Risk.

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