rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Quantitative credit portfolio management
    sub title: practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk
  name:
    name part: Ben Dor, Arik.
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: nju
    date issued: 2012
    edition: 1st ed.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (xxviii, 388 pages) : illustrations.
  abstract: "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"--
  table of contents: Machine generated contents note: pt. ONE Measuring the Market Risks of Corporate Bonds -- ch. 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 -- ch. 2 DTS for Credit Default Swaps -- Estimation Methodology -- Empirical Analysis of CDS Spreads -- Appendix: Quasi-Maximum Likelihood Approach -- ch. 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 -- ch. 4 A Theoretical Basis for DTS -- The Merton Model: A Zero-Coupon Bond -- Dependence of Slope on Maturity -- ch. 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) -- ch. 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 -- ch. 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 -- pt. TWO Managing Corporate Bond Portfolios -- ch. 8 Hedging the Market Risk in Pairs Trades -- Data and Hedging Si…
  note: Arik Ben Dor [and others].
  note: Includes bibliographical references and index.
  subject:
    topic: Credit derivatives
  subject:
    topic: Portfolio management
  subject:
    topic: Investment analysis
  subject:
    topic: Credit derivatives
  subject:
    topic: Investment analysis
  subject:
    topic: Portfolio management
  classification: HG6024.A3 B46 2012eb
  classification: 332.63/2
  related item:
    title info:
      title: Quantitative credit portfolio management
    origin info:
      publisher: Hoboken, N.J. : Wiley, ©2012
    identifier: (DLC) 2011039273
    identifier: (OCoLC)738349459
  related item:
    title info:
      title: Frank J. Fabozzi series
  identifier: 9781118167366
  identifier: 1118167368
  identifier: 9781119202851
  identifier: 111920285X
  identifier: 9781118117699
  identifier: 1118117697
  identifier: 2011039273
  identifier: https://doi.org/10.1002/9781119202851
  record info:
    record content source: E7B
    record creation date: 110919
    record change date: 20170124072312.8
    record identifier: ocn769190384
    language of cataloging:
      language term: eng