Logotipo librería Marcial Pons

Managing credit risk in corporate bond portfolios
a practitioner's guide

  • ISBN: 9780471430377
  • Editorial: John Wiley & Sons Limited
  • Lugar de la edición: Hoboken. Estados Unidos de Norteamérica
  • Colección: The Frank J. Fabozzi series
  • Encuadernación: Cartoné
  • Medidas: 24 cm
  • Nº Pág.: 274
  • Idiomas: Inglés

Papel: Cartoné
106,44 €
Sin Stock. Disponible en 5/6 semanas.


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. INDICE 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 Reportin


Utilizamos cookies propias y de terceros para mejorar nuestros servicios y facilitar la navegación. Si continúa navegando consideramos que acepta su uso.

aceptar más información