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Quantitative Credit Portfolio Management Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk

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ISBN-10: 1118117697

ISBN-13: 9781118117699

Edition: 2012

Authors: Lev Dynkin, Jay Hyman, Akin Arikan, Arik Ben Dor, Bruce D. Phelps

List price: $85.00
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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 todays 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…    
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Book details

List price: $85.00
Copyright year: 2012
Publisher: John Wiley & Sons, Limited
Publication date: 1/20/2012
Binding: Hardcover
Pages: 416
Size: 6.75" wide x 9.25" long x 1.25" tall
Weight: 1.496
Language: English

Notes on Terminology
Measuring the Market Risks of Corporate Bonds
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
DTS for Credit Default Swaps
Estimation Methodology
Empirical Analysis of CDS Spreads
Appendix: Quasi-Maximum Likelihood Approach
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
A Theoretical Basis for D7S
The Merton Model: A Zero-Coupon Bond
Dependence of Slope on Maturity
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)
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
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
Managing Corporate Bond Portfolios
Hedging the Market Risk in Pairs Trades
Data and Hedging Simulation Methodology
Analysis of Hedging Results
Appendix: Hedging Pair-Wise Trades with Skill
Positioning along the Credit Curve
Data and Methodology
Empirical Analysis
The 2007-2009 Credit Crisis
Spread Behavior during the Credit Crisis
Applications of DTS
Advantages of DTS in Risk Model Construction
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
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
Risk and Performance of Fallen Angels
Data and Methodology
Performance Dynamics around Rating Events
Fallen Angels as an Asset Class
Obtaining Credit Exposure Using Cash and Synthetic Replication
Cash Credit Replication (TCX)
Synthetic Replication of Cash Indexes
Credit RBIs