Quantitative Credit Portfolio Management

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

Business & Finance, Finance & Investing, Investments & Securities
Cover of the book Quantitative Credit Portfolio Management by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps, Wiley
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps ISBN: 9781118167427
Publisher: Wiley Publication: November 8, 2011
Imprint: Wiley Language: English
Author: Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
ISBN: 9781118167427
Publisher: Wiley
Publication: November 8, 2011
Imprint: Wiley
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

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.

More books from Wiley

Cover of the book Fibonacci and Catalan Numbers by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Cover of the book So leicht geht Achtsamkeit für Dummies by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Cover of the book Thank You and Good Night by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Cover of the book Human Bond Communication by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Cover of the book Cash Cows, Pigs and Jackpots by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Cover of the book Designing and Building with UHPFRC by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Cover of the book The Ultimate Book of Influence by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Cover of the book PMP Practice Makes Perfect by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Cover of the book Unpacking Construction Site Safety by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Cover of the book Startup Opportunities by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Cover of the book Dad's Guide to Baby's First Year For Dummies by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Cover of the book Lootcamp by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Cover of the book How to Teach English Language Learners by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Cover of the book Financial Planning & Analysis and Performance Management by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Cover of the book Causal Inference in Statistics by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy