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Active Credit Portfolio Management

- A Practical Guide to Credit Risk Management Strategies
Af: Michael Zaiser, Jochen Felsenheimer, Philip Gisdakis Engelsk Hardback

Active Credit Portfolio Management

- A Practical Guide to Credit Risk Management Strategies
Af: Michael Zaiser, Jochen Felsenheimer, Philip Gisdakis Engelsk Hardback
Tjek vores konkurrenters priser
The introduction of the euro in 1999 marked the starting point of the development of a very liquid and heterogeneous EUR credit market, which exceeds EUR 350bn with respect to outstanding corporate bonds. As a result, credit risk trading and credit portfolio management gained significantly in importance. The book shows how to optimize, manage, and hedge liquid credit portfolios, i.e. applying innovative derivative instruments. Against the background of the highly complex structure of credit derivatives, the book points out how to implement portfolio optimization concepts using credit-relevant parameters, and basic Markowitz or more sophisticated modified approaches (e.g., Conditional Value at Risk, Omega optimization) to fulfill the special needs of an active credit portfolio management on a single-name and on a portfolio basis (taking default correlation within a credit risk model framework into account). This includes appropriate strategies to analyze the impact from credit-relevant newsflow (macro- and micro-fundamental news, rating actions, etc.). As credits resemble equity-linked instruments, we also highlight how to implement debt-equity strategies, which are based on a modified Merton approach.
The book is obligatory for credit portfolio managers of funds and insurance companies, as well as bank-book managers, credit traders in investment banks, cross-asset players in hedge funds, and risk controllers.





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The introduction of the euro in 1999 marked the starting point of the development of a very liquid and heterogeneous EUR credit market, which exceeds EUR 350bn with respect to outstanding corporate bonds. As a result, credit risk trading and credit portfolio management gained significantly in importance. The book shows how to optimize, manage, and hedge liquid credit portfolios, i.e. applying innovative derivative instruments. Against the background of the highly complex structure of credit derivatives, the book points out how to implement portfolio optimization concepts using credit-relevant parameters, and basic Markowitz or more sophisticated modified approaches (e.g., Conditional Value at Risk, Omega optimization) to fulfill the special needs of an active credit portfolio management on a single-name and on a portfolio basis (taking default correlation within a credit risk model framework into account). This includes appropriate strategies to analyze the impact from credit-relevant newsflow (macro- and micro-fundamental news, rating actions, etc.). As credits resemble equity-linked instruments, we also highlight how to implement debt-equity strategies, which are based on a modified Merton approach.
The book is obligatory for credit portfolio managers of funds and insurance companies, as well as bank-book managers, credit traders in investment banks, cross-asset players in hedge funds, and risk controllers.





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Se mere i:
Produktdetaljer
Sprog: Engelsk
Sider: 581
ISBN-13: 9783527501984
Indbinding: Hardback
Udgave:
ISBN-10: 3527501983
Kategori: Kredit og kreditinstitutioner
Udg. Dato: 13 dec 2005
Længde: 46mm
Bredde: 157mm
Højde: 243mm
Forlag: Wiley-VCH Verlag GmbH
Oplagsdato: 13 dec 2005
Forfatter(e): Michael Zaiser, Jochen Felsenheimer, Philip Gisdakis
Forfatter(e) Michael Zaiser, Jochen Felsenheimer, Philip Gisdakis

Kategori Kredit og kreditinstitutioner

ISBN-13 9783527501984

Sprog Engelsk

Indbinding Hardback

Sider 581

Udgave

Længde 46mm

Bredde 157mm

Højde 243mm

Udg. Dato 13 dec 2005

Oplagsdato 13 dec 2005

Forlag Wiley-VCH Verlag GmbH

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