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作者 Dynkin, Lev
書名 Quantitative Credit Portfolio Management : Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk
出版項 New York : John Wiley & Sons, Incorporated, 2011
©2012
國際標準書號 9781118167366 (electronic bk.)
9781118117699
book jacket
版本 1st ed
說明 1 online resource (418 pages)
text txt rdacontent
computer c rdamedia
online resource cr rdacarrier
系列 Frank J. Fabozzi Ser. ; v.202
Frank J. Fabozzi Ser
附註 Intro -- Quantitative Credit Portfolio Management -- 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 Debt -- DTS 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 Approach -- Using 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 Risk -- Downgrade 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 -- CHAPTER 14 Obtaining Credit Exposure Using Cash and Synthetic Replication -- Cash Credit Replication (TCX) -- Synthetic Replication of Cash Indexes -- Credit RBIs -- References -- Index
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
Description based on publisher supplied metadata and other sources
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2020. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries
鏈接 Print version: Dynkin, Lev Quantitative Credit Portfolio Management : Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk New York : John Wiley & Sons, Incorporated,c2011 9781118117699
主題 Credit derivatives.;Portfolio management.;Investment analysis
Electronic books
Alt Author Hyman, Jay
Dor, Arik Ben
Phelps, Bruce D
Dor, Arik Ben
Phelps, Bruce D
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