Quantitative credit portfolio management: practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ [u.a.]
Wiley
2012
|
| Schriftenreihe: | The Frank J. Fabozzi series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Formerly CIP Uk |
| Beschreibung: | XXVIII, 388 S. graph. Darst. 24 cm |
| ISBN: | 9781118117699 1118117697 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804148931413671936 |
|---|---|
| adam_text | Titel: Quantitative credit portfolio management
Autor: Dor, Arik Ben
Jahr: 2012
Foreword xvii
Introduction xix
Notes on Terminology xxvii
Measuring the Market Risks of Corporate Bonds
CHAPTER 1
Measuring Spread Sensitivity of Corporate Bonds 3
Analysis of Corporate Bond Spread Behavior 5
A New Measure of Excess Return Volatility 20
Refinements and Further Tests 25
Summary and Implications for Portfolio Managers 30
Appendix: Data Description 34
CHAPTER 2
DTS for Credit Default Swaps 88
Estimation Methodology 40
Empirical Analysis of CDS Spreads 41
Appendix: Quasi-Maximum Likelihood Approach 51
CHAPTER 3
DTS for Sovereign Bonds 55
Spread Dynamics of Emerging Markets Debt 55
DTS for Developed Markets Sovereigns: The Case of Euro
Treasuries 59
Managing Sovereign Risk Using DTS 66
CHAPTffi4
A Theoretical Basis for DTS 73
The Merton Model: A Zero-Coupon Bond 74
Dependence of Slope on Maturity 77
CHAPTER 5
Quantifying the Liquidity of Corporate Bonds 81
Liquidity Cost Scores (LCS) for U.S. Credit Bonds 82
Liquidity Cost Scores: Methodology 88
LCS for Trader-Quoted Bonds 92
LCS for Non-Quoted Bonds: The LCS Model 96
Testing the LCS Model: Out-of-Sample Tests 102
LCS for Pan-European Credit Bonds 113
Using LCS in Portfolio Construction 123
Trade Efficiency Scores (TES) 129
CHAPTER 6
Joint Dynamics of Default and Liquidity Bisk 133
Spread Decomposition Methodology 138
What Drives OAS Differences across Bonds? 139
How Has the Composition of OAS Changed? 141
Spread Decomposition Using an Alternative Measure of
Expected Default Losses 145
High-Yield Spread Decomposition 147
Applications of Spread Decomposition 147
Alternative Spread Decomposition Models 150
Appendix 152
CHAPTER 7
Empirical versus Nominal Durations of Corporate Bonds 157
Empirical Duration: Theory and Evidence 159
Segmentation in Credit Markets 173
Potential Stale Pricing and Its Effect on Hedge Ratios 173
Hedge Ratios Following Rating Changes: An Event Study
Approach 179
Using Empirical Duration in Portfolio Management
Applications 186
Managing Corporate Bond Portfolios
CHAPTER 8
Hedging the Market Risk in Pairs Trades 197
Data and Hedging Simulation Methodology 199
Analysis of Hedging Results 200
Appendix: Hedging Pair-Wise Trades with Skill 208
CHAPTER 9
Positioning along the Credit Curve 213
Data and Methodology 214
Empirical Analysis 217
CHAPTER 10
The 2007-2009 Credit Crisis 229
Spread Behavior during the Credit Crisis 229
Applications of DTS 234
Advantages of DTS in Risk Model Construction 244
CHAPTER 11
A Framework for Diversification of Issuer Risk 249
Downgrade Risk before and after the Credit Crisis 250
Using DTS to Set Position-Size Ratios 257
Comparing and Combining the Two Approaches to Issuer
Limits 260
CHAPTER 12
How Best to Capture the Spread Premium of Corporate Bonds? 285
The Credit Spread Premium 266
Measuring the Credit Spread Premium for the IG Corporate
Index 266
Alternative Corporate Indexes 279
Capturing Spread Premium: Adopting an Alternative Corporate
Benchmark 288
CHAPTER 13
Risk and Performance of Fallen Angels 295
Data and Methodology 298
Performance Dynamics around Rating Events 303
Fallen Angels as an Asset Class 319
CHAPTER 14
Obtaining Credit Exposure Using Cash and Synthetic Replication 337
Cash Credit Replication (TCX) 338
Synthetic Replication of Cash Indexes 351
Credit RBIs 358
References 367
Index 371
|
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| building | Verbundindex |
| bvnumber | BV039957738 |
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| dewey-full | 332.6 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV039957738 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:14:58Z |
| institution | BVB |
| isbn | 9781118117699 1118117697 |
| language | English |
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| spelling | Quantitative credit portfolio management practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk Arik Ben Dor ... Hoboken, NJ [u.a.] Wiley 2012 XXVIII, 388 S. graph. Darst. 24 cm txt rdacontent n rdamedia nc rdacarrier The Frank J. Fabozzi series Formerly CIP Uk Kreditmanagement (DE-588)4138463-5 gnd rswk-swf Methode (DE-588)4038971-6 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Portfolio management Credit / Management Portfoliomanagement (DE-588)4115601-8 s Kreditmanagement (DE-588)4138463-5 s Risikomanagement (DE-588)4121590-4 s Methode (DE-588)4038971-6 s b DE-604 Ben Dor, Arik Sonstige (DE-588)141904127 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024815534&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Quantitative credit portfolio management practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk Kreditmanagement (DE-588)4138463-5 gnd Methode (DE-588)4038971-6 gnd Risikomanagement (DE-588)4121590-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4138463-5 (DE-588)4038971-6 (DE-588)4121590-4 (DE-588)4115601-8 |
| title | Quantitative credit portfolio management practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk |
| title_auth | Quantitative credit portfolio management practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk |
| title_exact_search | Quantitative credit portfolio management practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk |
| title_full | Quantitative credit portfolio management practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk Arik Ben Dor ... |
| title_fullStr | Quantitative credit portfolio management practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk Arik Ben Dor ... |
| title_full_unstemmed | Quantitative credit portfolio management practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk Arik Ben Dor ... |
| title_short | Quantitative credit portfolio management |
| title_sort | quantitative credit portfolio management practical innovations for measuring and controlling liquidity spread and issuer concentration risk |
| title_sub | practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk |
| topic | Kreditmanagement (DE-588)4138463-5 gnd Methode (DE-588)4038971-6 gnd Risikomanagement (DE-588)4121590-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Kreditmanagement Methode Risikomanagement Portfoliomanagement |
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