Quantitative Credit Portfolio Management

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Quantitative Credit Portfolio Management
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书籍名称：

Quantitative Credit Portfolio Management

    -Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk

作者：Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D.Phelps

出版年份：2012     共418p，文字版（非扫描版）带书签PDF

ISBN 978-1-118-11769-9

目录：

Foreword
Introduction
Notes on Terminology
PART ONE Measuring the Market Risks of Corporate Bonds
CHAPTER 1 Measuring Spread Sensitivity of Corporate Bonds
CHAPTER 2 DTS for Credit Default Swaps
CHAPTER 3 DTS for Sovereign Bonds
CHAPTER 4 A Theoretical Basis for DTS
CHAPTER 5 Quantifying the Liquidity of Corporate Bonds
CHAPTER 6 Joint Dynamics of Default and Liquidity Risk
CHAPTER 7 Empirical versus Nominal Durations of Corporate Bonds
PART TWO Managing Corporate Bond Portfolios
CHAPTER 8 Hedging the Market Risk in Pairs Trades
CHAPTER 9 Positioning along the Credit Curve
CHAPTER 10 The 2007–2009 Credit Crisis
CHAPTER 11 A Framework for Diversification of Issuer Risk
CHAPTER 12 How Best to Capture the Spread Premium of Corporate Bonds?
CHAPTER 13 Risk and Performance of Fallen Angels
CHAPTER 14 Obtaining Credit Exposure Using Cash and Synthetic Replication
References
Index

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