Quantitative credit portfolio management : practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk /

• Άλλοι συγγραφείς: Ben Dor, Arik
• Μορφή: Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Hoboken, N.J. : Wiley, [2012]
• Έκδοση: 1st ed.
• Σειρά: Frank J. Fabozzi series.
• Θέματα: Credit derivatives.; Portfolio management.; Investment analysis.; Electronic books.

"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 cred...