Quantitative credit portfolio management [electronic resource] : practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk / Arik Ben Dor [and others].
- Hoboken, N.J. : Wiley, 
- Copyright Date:
- Physical Description:
- 1 online resource (xxviii, 388 pages) : illustrations
- Additional Creators:
- Ben Dor, Arik and Ebooks Corporation
- The Frank J. Fabozzi series
- 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.
- 1118167368 (electronic bk.)
9781118167366 (electronic bk.)
- Description based on print version record.
AVAILABLE ONLINE TO AUTHORIZED PSU USERS.
- Bibliography Note:
- Includes bibliographical references and index.
- Reproduction Note:
- Electronic reproduction. Perth, W.A. Available via World Wide Web.
- Technical Details:
- Mode of access: World Wide Web.
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