Quantitative credit portfolio management : practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk / Arik Ben Dor ... [et al.].

Format:

Book

Author/Creator:

Ben Dor, Arik.

Series:

Frank J. Fabozzi series ; 202.

Frank J. Fabozzi series ; 202

Language:

English

Subjects (All):

Credit derivatives.

Portfolio management.

Investment analysis.

Physical Description:

1 online resource (418 p.)

Edition:

1st ed.

Place of Publication:

Hoboken, NJ : Wiley, c2012.

Language Note:

English

Summary:

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 cre

Contents:

QuantitativeCredit PortfolioManagement; Contents; Foreword; Introduction; Notes on Terminology; PART ONE Measuring the Market Risks of Corporate Bonds; CHAPTER 1 Measuring Spread Sensitivity of Corporate Bonds; Analysis of Corporate Bond Spread Behavior; A New Measure of Excess Return Volatility; Refinements and Further Tests; Summary and Implications for Portfolio Managers; Appendix: Data Description; CHAPTER 2 DTS for Credit Default Swaps; Estimation Methodology; Empirical Analysis of CDS Spreads; Appendix: Quasi-Maximum Likelihood Approach; CHAPTER 3 DTS for Sovereign Bonds

Spread Dynamics of Emerging Markets DebtDTS for Developed Markets Sovereigns: The Case of Euro Treasuries; Managing Sovereign Risk Using DTS; CHAPTER 4 A Theoretical Basis for DTS; The Merton Model: A Zero-Coupon Bond; Dependence of Slope on Maturity; CHAPTER 5 Quantifying the Liquidity of Corporate Bonds; Liquidity Cost Scores (LCS) for U.S. Credit Bonds; Liquidity Cost Scores: Methodology; LCS for Trader-Quoted Bonds; LCS for Non-Quoted Bonds: The LCS Model; Testing the LCS Model: Out-of-Sample Tests; LCS for Pan-European Credit Bonds; Using LCS in Portfolio Construction

Trade Efficiency Scores (TES)CHAPTER 6 Joint Dynamics of Default and Liquidity Risk; Spread Decomposition Methodology; What Drives OAS Differences across Bonds?; How Has the Composition of OAS Changed?; Spread Decomposition Using an Alternative Measure of Expected Default Losses; High-Yield Spread Decomposition; Applications of Spread Decomposition; Alternative Spread Decomposition Models; Appendix; CHAPTER 7 Empirical versus Nominal Durations of Corporate Bonds; Empirical Duration: Theory and Evidence; Segmentation in Credit Markets; Potential Stale Pricing and Its Effect on Hedge Ratios

Hedge Ratios Following Rating Changes: An Event Study ApproachUsing Empirical Duration in Portfolio Management Applications; PART TWO Managing Corporate Bond Portfolios; CHAPTER 8 Hedging the Market Risk in Pairs Trades; Data and Hedging Simulation Methodology; Analysis of Hedging Results; Appendix: Hedging Pair-Wise Trades with Skill; CHAPTER 9 Positioning along the Credit Curve; Data and Methodology; Empirical Analysis; CHAPTER 10 The 2007-2009 Credit Crisis; Spread Behavior during the Credit Crisis; Applications of DTS; Advantages of DTS in Risk Model Construction

CHAPTER 11 A Framework for Diversification of Issuer RiskDowngrade Risk before and after the Credit Crisis; Using DTS to Set Position-Size Ratios; Comparing and Combining the Two Approaches to Issuer Limits; CHAPTER 12 How Best to Capture the Spread Premium of Corporate Bonds?; The Credit Spread Premium; Measuring the Credit Spread Premium for the IG Corporate Index; Alternative Corporate Indexes; Capturing Spread Premium: Adopting an Alternative Corporate Benchmark; CHAPTER 13 Risk and Performance of Fallen Angels; Data and Methodology; Performance Dynamics around Rating Events

Fallen Angels as an Asset Class

Notes:

Includes index.

Description based on metadata supplied by the publisher and other sources.

ISBN:

9786613337511

9781118167427

1118167422

9781119202851

111920285X

9781283337519

1283337517

9781118167366

1118167368

OCLC:

768082623