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Quantitative Credit Portfolio Management

Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk

Arik Ben Dor and Others

This book is available for download with iBooks on your Mac or iOS device, and with iTunes on your computer. Books can be read with iBooks on your Mac or iOS device.

Description

An innovative approach to post-crash credit portfolio management
Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's credit managers and risk analysts.

A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the credit crisis of 2008-2009. Divided into two comprehensive parts, Quantitative Credit Portfolio Management offers essential insights into understanding the risks of corporate bonds—spread, liquidity, and Treasury yield curve risk—as well as managing corporate bond portfolios.
Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade?
Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events.

Quantitative Credit Portfolio Management
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  • 67,99 €
  • Available on iPhone, iPad, iPod touch, and Mac.
  • Category: Investing
  • Published: 08 November 2011
  • Publisher: Wiley
  • Print Length: 448 Pages
  • Language: English
  • Requirements: To view this book, you must have an iOS device with iBooks 1.3.1 or later and iOS 4.3.3 or later, or a Mac with iBooks 1.0 or later and OS X 10.9 or later.

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