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

• Other Authors: Ben Dor, Arik
• Format: eBook
• Language: English
• Published: Hoboken, N.J. : Wiley, [2012]
• Edition: 1st ed.
• Series: Frank J. Fabozzi series.
• Subjects: 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...