Tyagi, Vikrant. 2010. Essays In Credit Portfolio Management. Doctoral Dissertation,
Cornell University.
The current financial crisis
has lessons for three areas of credit portfolio management. First, the credit
crisis has highlighted the need to manage the funding risk of a bank. Second,
it has highlighted the need to manage the underwriting risk of debt
syndications. Finally, it has suggested the need to understand the drivers of
relationship banking. The first paper in this dissertation develops an
empirically grounded model to manage the funding risk of a bank. The second
paper develops an option pricing framework to manage the underwriting risk in
debt syndications. The last paper in this dissertation uses a proprietary
dataset to study the empirical determinants of relationship banking benefits.
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