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Managing Credit Risk in Corporate Bond Portfolios: A Practitioner's Guide
by Ramaswamy, Srichander | HC | Good
US $23,37
CircaEUR 19,94
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Numero oggetto eBay:376434177794
Specifiche dell'oggetto
- Condizione
- Buone condizioni
- Note del venditore
- Binding
- Hardcover
- Weight
- 1 lbs
- Product Group
- Book
- IsTextBook
- No
- ISBN
- 9780471430377
Informazioni su questo prodotto
Product Identifiers
Publisher
Wiley & Sons, Incorporated, John
ISBN-10
0471430374
ISBN-13
9780471430377
eBay Product ID (ePID)
5917167
Product Key Features
Book Title
Managing Credit Risk in Corporate Bond Portfolios : a Practitioner's Guide
Number of Pages
288 Pages
Language
English
Topic
Methodology, Investments & Securities / Portfolio Management, Finance / General, Accounting / Managerial
Publication Year
2003
Illustrator
Yes
Genre
Social Science, Business & Economics
Book Series
Frank J. Fabozzi Ser.
Format
Hardcover
Dimensions
Item Height
0.9 in
Item Weight
17.4 Oz
Item Length
9.3 in
Item Width
6.3 in
Additional Product Features
Intended Audience
Trade
LCCN
2004-297882
Dewey Edition
21
Series Volume Number
106
Dewey Decimal
332.63234
Table Of Content
Foreword. Preface. Chapter 1. Introduction. Motivation. Summary of the Book. Chapter 2. Mathematical Preliminaries. Probability Theory. Linear Algebra. Questions. Chapter 3. The Corporate Bond Market. Features of Corporate Bonds. Corporate Bond Trading. Role of Corporate Bonds. Relative Market Size. Historical Performance. The Case for Corporate Bonds. Questions. Chapter 4. Modeling Market Risk. Interest Rate Risk. Portfolio Aggregates. Dynamics of the Yield Curve. Other Sources of Market Risk. Market Risk Model. Questions. Chapter 5. Modeling Credit Risk. Elements of Credit Risk. Quantifying Credit Risk. Numerical Examples. Questions. Chapter 6. Portfolio Credit Risk. Quantifying Portfolio Credit Risk. Default Correlation. Default Mode: Two-Bond Portfolio. Estimating Asset Return Correlation. Credit Risk Under Migration Mode. Numerical Example. Questions. Chapter 7. Simulating the Loss Distribution. Monte Carlo Methods. Credit Loss Simulation. Tail Risk Measures. Numerical Results. Questions. Chapter 8. Relaxing the Normal Distribution Assumption. Motivation. Portfolio Credit Risk. Loss Simulation. Appendix. Questions. Chapter 9. Risk Reporting and Performance Attribution. Relative Credit Risk Measures. Marginal Credit Risk Contribution. Portfolio Credit Risk Report. Portfolio Market Risk Report. Performance Attribution. Questions. Chapter 10. Portfolio Optimization. Portfolio Selection Techniques. Optimization Methods. Practical Difficulties. Portfolio Construction. Portfolio Rebalancing. Devil in the Parameters: A Case Study. Questions. Chapter 11. Structured Credit Products. Introduction to CDOs. Anatomy of a CDO Transaction. Major Sources of Risk in CDOs. Rating a CDO Transaction. Tradable Corporate Bond Baskets. Questions. Solutions to End-of-Chapter Questions. Index.
Synopsis
Managing Credit Risk in Corporate Bond Portfolios discusses discusses how to create a portfolio that will replicate or out-perform a corporate bond benchmark, while assessing the risk of various bonds held in that particular portfolio., Expert guidance on managing credit risk in bond portfolios Managing Credit Risk in Corporate Bond Portfolios shows readers how to measure and manage the risks of a corporate bond portfolio against its benchmark. This comprehensive guide explores a wide range of topics surrounding credit risk and bond portfolios, including the similarities and differences between corporate and government bond portfolios, yield curve risk, default and credit migration risk, Monte Carlo simulation techniques, and portfolio selection methods. Srichander Ramaswamy, PhD (Basel, Switzerland), is Head of Investment Analysis at the Bank for International Settlements (BIS) in Basel, Switzerland, and Adjunct Professor of Banking and Finance, University of Lausanne., "With this clear and comprehensive guide, the reader has an excellent basis on which to build up an advanced credit risk management system. Ramaswamy provides clear answers to important questions such as tail dependence and relative credit risk measures while keeping the right balance between practical relevance and technical sophistication." -Dr. Yue Sung, Head of Risk Control, Deutsche Bundesbank "This book bridges the gap between theory and practice in the quantitative management of corporate bond portfolios. Different distributional assumptions are utilized and discussed in the context of practical portfolio management examples. I recommend this book to practitioners as a useful introduction to the quantitative issues of corporate bond portfolio management." -Lev Dynkin, Managing Director Lehman Brothers, Quantitative Portfolio Strategies In Managing Credit Risk in Corporate Bond Portfolios: A Practitioner's Guide, investment expert Srichander Ramaswamy skillfully explains how you can begin to measure and manage the relative credit risk of a co rporate bond portfolio against its benchmark. By combining risk management concepts with portfolio construction techniques, and examining the role that quantitative methods play in the integration process, this comprehensive guide provides much-needed answers to numerous corporate bond portfolio management questions. Filled with practical advice and challenging end-of-chapter questions, this book can help you become a better-informed and more efficient player in the financial system-whether you're an institutional investor in need of important risk guidelines or a portfolio manager looking to rebalance positions.
LC Classification Number
HG4651
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ThriftBooks
98,9% di Feedback positivi•19,8 milioni oggetti venduti
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Feedback sul venditore (5.712.220)
- c***m (429)- Feedback lasciato dall'acquirente.Ultimi 6 mesiAcquisto verificatoWOW!; I cannot believe this 3 Days to Hawaii! ; AAA+++; Excellent Service; Great Pricing; Fast Delivery-Faster Than Expected to Hawaii!; Shipped 05/05, Mon, Received 05/08, Thu to Hawaii using free shipping; USPS Ground Mail, Book in Excellent Condition--Better Than Described ; TLC Packaging; Excellent Seller Communication, Sends updates . Highly Recommended!, Thank you very much!The Internment of Japanese Americans During World War II (N° 146005407795)
- v***v (2075)- Feedback lasciato dall'acquirente.Mese scorsoAcquisto verificatoAlthough this book was not as described, with no picture of it in the listing, the seller communicated well and quickly gave me a full refund while letting me keep it. The minimal packaging left the book a bit vulnerable (typical for ThriftBooks), but it did arrive safely and timely. As usual, it’s hit or miss with this seller, but often times you can get great values, and their customer service is always very good. Many other sellers with millions of transactions don’t even communicate.
- 2***j (113)- Feedback lasciato dall'acquirente.Mese scorsoAcquisto verificatoI've ordered several items from this vendor now and they've always been what they were advertised as. This was no exception. Both discs were in great shape as well as their jewel cases. Delivery is good, packaging is simple but effective for what you're paying and I haven't had any get damaged. Will keep buying from this vendor because of the results so far and good prices, too.