An up–to–date guide to credit risk measurement and credit portfolio management

Managing Credit Portfolios is a fully revised and updated edition of author Charles Smithson′s 2003 title, Credit Portfolio Management. This new book focuses more on the implementation aspects of credit risk, paying special attention to both performance and active management. Smithson takes the time to discuss the implementation, performance measurement, and management of credit risks associated with a variety of loans and off–balance sheet products, such as credit defaults swaps, total return swaps, first–to–default baskets, and credit spread options. He also addresses on–balance sheet customized structure products, including credit–linked notes, repackaged notes, and synthetic collateralized debt obligations (CDOs). Throughout the book, he has included descriptions of the 2007–2008 subprime credit crisis and highlighted the lessons learned. Filled with in–depth insights and expert advice, this book is a must–read reference for those interested in credit derivatives and credit markets.

Charles W. Smithson, PhD (New York, NY), is the Founding Partner of Rutter Associates. He is the author of five books, including the Wiley title Credit Portfolio Management (978–0–471–32415–7).