Quantitative credit portfolio management : practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk /
"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...
| Άλλοι συγγραφείς: | |
|---|---|
| Μορφή: | Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Hoboken, N.J. :
Wiley,
[2012]
|
| Έκδοση: | 1st ed. |
| Σειρά: | Frank J. Fabozzi series.
|
| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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 Simulation Methodology
- Analysis of Hedging Results
- Appendix: Hedging Pair-Wise Trades with Skill
- ch. 9 Positioning along the Credit Curve
- Data and Methodology
- Empirical Analysis
- ch. 10 The 2007-2009 Credit Crisis
- Spread Behavior during the Credit Crisis
- Applications of DTS
- Advantages of DTS in Risk Model Construction
- ch. 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
- ch. 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
- ch. 13 Risk and Performance of Fallen Angels
- Data and Methodology
- Performance Dynamics around Rating Events
- Fallen Angels as an Asset Class
- ch. 14 Obtaining Credit Exposure Using Cash and Synthetic Replication
- Cash Credit Replication (TCX)
- Synthetic Replication of Cash Indexes
- Credit RBIs.
