Del 106 i serien Frank J. Fabozzi Series

Managing Credit Risk in Corporate Bond Portfolios

Name: Managing Credit Risk in Corporate Bond Portfolios
SKU: 9780471430377
Price: 799 SEK
Availability: InStock
Author: Srichander Ramaswamy
ISBN: 9780471430377

A Practitioner's Guide

Inbunden, Engelska, 2003

AvSrichander Ramaswamy

799 kr

Beställningsvara. Skickas inom 5-8 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.

Expert guidance on managing credit risk in bond portfoliosManaging 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.

Produktinformation

Utgivningsdatum2003-12-01
Mått159 x 237 x 24 mm
Vikt493 g
FormatInbunden
SpråkEngelska
SerieFrank J. Fabozzi Series
Antal sidor290
FörlagJohn Wiley & Sons Inc
ISBN9780471430377

Tillhör följande kategorier

Finansiering inom Ekonomi och ledarskap

Srichander Ramaswamy 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. Previously, he was a financial engineer with Credit Suisse in Zurich. Dr. Ramaswamy is a contributor to the Journal of Portfolio Management and other professional journals. He holds a PhD in aerospace engineering from the University of Cincinnati.

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.

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Del 106 i serien Frank J. Fabozzi Series

Managing Credit Risk in Corporate Bond Portfolios

A Practitioner's Guide

Inbunden, Engelska, 2003

AvSrichander Ramaswamy

799 kr

Beställningsvara. Skickas inom 5-8 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.

Produktinformation

Utgivningsdatum2003-12-01
Mått159 x 237 x 24 mm
Vikt493 g
FormatInbunden
SpråkEngelska
SerieFrank J. Fabozzi Series
Antal sidor290
FörlagJohn Wiley & Sons Inc
ISBN9780471430377

Tillhör följande kategorier

Finansiering inom Ekonomi och ledarskap

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.