Quantitative Credit Portfolio Management Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk
Aus der Reihe
Frank J. Fabozzi Series
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Form:Einzelkauf Download
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Sprache:Englisch
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eBook Format:ePUB
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Produktdetails
Format
ePUB
Kopierschutz
Ja
Family Sharing
Nein
Text-to-Speech
Ja
Erscheinungsdatum
08.11.2011
Verlag
John Wiley & Sons IncSeitenzahl
416 (Printausgabe)
Dateigröße
7940 KB
Auflage
1. Auflage
Sprache
Englisch
EAN
9781118167427
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.
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.
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