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| Foreword | |
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| Introduction | |
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| Notes on Terminology | |
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| Measuring the Market Risks of Corporate Bonds | |
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| Measuring Spread Sensitivity of Corporate Bonds | |
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| Analysis of Corporate Bond Spread Behavior | |
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| A New Measure of Excess Return Volatility | |
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| Refinements and Further Tests | |
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| Summary and Implications for Portfolio Managers | |
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| Appendix: Data Description | |
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| DTS for Credit Default Swaps | |
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| Estimation Methodology | |
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| Empirical Analysis of CDS Spreads | |
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| Appendix: Quasi-Maximum Likelihood Approach | |
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| DTS for Sovereign Bonds | |
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| Spread Dynamics of Emerging Markets Debt | |
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| DTS for Developed Markets Sovereigns: The Case of Euro Treasuries | |
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| Managing Sovereign Risk Using DTS | |
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| A Theoretical Basis for D7S | |
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| The Merton Model: A Zero-Coupon Bond | |
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| Dependence of Slope on Maturity | |
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| Quantifying the Liquidity of Corporate Bonds | |
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| Liquidity Cost Scores (LCS) for U.S. Credit Bonds | |
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| Liquidity Cost Scores: Methodology | |
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| LCS for Trader-Quoted Bonds | |
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| LCS for Non-Quoted Bonds: The LCS Model | |
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| Testing the LCS Model: Out-of-Sample Tests | |
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| LCS for Pan-European Credit Bonds | |
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| Using LCS in Portfolio Construction | |
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| Trade Efficiency Scores (TES) | |
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| Joint Dynamics of Default and Liquidity Risk | |
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| Spread Decomposition Methodology | |
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| What Drives OAS Differences across Bonds? | |
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| How Has the Composition of OAS Changed? | |
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| Spread Decomposition Using an Alternative Measure of Expected Default Losses | |
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| High-Yield Spread Decomposition | |
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| Applications of Spread Decomposition | |
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| Alternative Spread Decomposition Models | |
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| Appendix | |
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| Empirical versus Nominal Durations of Corporate Bonds | |
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| Empirical Duration: Theory and Evidence | |
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| Segmentation in Credit Markets | |
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| Potential Stale Pricing and Its Effect on Hedge Ratios | |
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| Hedge Ratios Following Rating Changes: An Event Study Approach | |
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| Using Empirical Duration in Portfolio Management Applications | |
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| Managing Corporate Bond Portfolios | |
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| Hedging the Market Risk in Pairs Trades | |
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| Data and Hedging Simulation Methodology | |
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| Analysis of Hedging Results | |
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| Appendix: Hedging Pair-Wise Trades with Skill | |
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| Positioning along the Credit Curve | |
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| Data and Methodology | |
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| Empirical Analysis | |
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| The 2007-2009 Credit Crisis | |
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| Spread Behavior during the Credit Crisis | |
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| Applications of DTS | |
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| Advantages of DTS in Risk Model Construction | |
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| A Framework for Diversification of Issuer Risk | |
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| Downgrade Risk before and after the Credit Crisis | |
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| Using DTS to Set Position-Size Ratios | |
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| Comparing and Combining the Two Approaches to Issuer Limits | |
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| How Best to Capture the Spread Premium of Corporate Bonds? | |
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| The Credit Spread Premium | |
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| Measuring the Credit Spread Premium for the IG Corporate Index | |
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| Alternative Corporate Indexes | |
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| Capturing Spread Premium: Adopting an Alternative Corporate Benchmark | |
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| Risk and Performance of Fallen Angels | |
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| Data and Methodology | |
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| Performance Dynamics around Rating Events | |
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| Fallen Angels as an Asset Class | |
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| Obtaining Credit Exposure Using Cash and Synthetic Replication | |
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| Cash Credit Replication (TCX) | |
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| Synthetic Replication of Cash Indexes | |
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| Credit RBIs | |
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| References | |
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| Index | |