Extent: | Online-Ressource (1 online resource (xxviii, 388 p.)) ill. |
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Series: | Frank J. Fabozzi series ; 202 Frank J. Fabozzi Ser ; v.202 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Includes index. - Description based on print version record QuantitativeCredit PortfolioManagement; Contents; Foreword; Introduction; Notes on Terminology; PART ONE Measuring the Market Risks of Corporate Bonds; CHAPTER 1 Measuring Spread Sensitivity of Corporate Bonds; Analysis of Corporate Bond Spread Behavior; A New Measure of Excess Return Volatility; Refinements and Further Tests; Summary and Implications for Portfolio Managers; Appendix: Data Description; CHAPTER 2 DTS for Credit Default Swaps; Estimation Methodology; Empirical Analysis of CDS Spreads; Appendix: Quasi-Maximum Likelihood Approach; CHAPTER 3 DTS for Sovereign Bonds Spread Dynamics of Emerging Markets DebtDTS for Developed Markets Sovereigns: The Case of Euro Treasuries; Managing Sovereign Risk Using DTS; CHAPTER 4 A Theoretical Basis for DTS; The Merton Model: A Zero-Coupon Bond; Dependence of Slope on Maturity; CHAPTER 5 Quantifying the Liquidity of Corporate Bonds; Liquidity Cost Scores (LCS) for U.S. Credit Bonds; Liquidity Cost Scores: Methodology; LCS for Trader-Quoted Bonds; LCS for Non-Quoted Bonds: The LCS Model; Testing the LCS Model: Out-of-Sample Tests; LCS for Pan-European Credit Bonds; Using LCS in Portfolio Construction Trade Efficiency Scores (TES)CHAPTER 6 Joint Dynamics of Default and Liquidity Risk; Spread Decomposition Methodology; What Drives OAS Differences across Bonds?; How Has the Composition of OAS Changed?; Spread Decomposition Using an Alternative Measure of Expected Default Losses; High-Yield Spread Decomposition; Applications of Spread Decomposition; Alternative Spread Decomposition Models; Appendix; CHAPTER 7 Empirical versus Nominal Durations of Corporate Bonds; Empirical Duration: Theory and Evidence; Segmentation in Credit Markets; Potential Stale Pricing and Its Effect on Hedge Ratios Hedge Ratios Following Rating Changes: An Event Study ApproachUsing Empirical Duration in Portfolio Management Applications; PART TWO Managing Corporate Bond Portfolios; CHAPTER 8 Hedging the Market Risk in Pairs Trades; Data and Hedging Simulation Methodology; Analysis of Hedging Results; Appendix: Hedging Pair-Wise Trades with Skill; CHAPTER 9 Positioning along the Credit Curve; Data and Methodology; Empirical Analysis; CHAPTER 10 The 2007-2009 Credit Crisis; Spread Behavior during the Credit Crisis; Applications of DTS; Advantages of DTS in Risk Model Construction CHAPTER 11 A Framework for Diversification of Issuer RiskDowngrade Risk before and after the Credit Crisis; Using DTS to Set Position-Size Ratios; Comparing and Combining the Two Approaches to Issuer Limits; CHAPTER 12 How Best to Capture the Spread Premium of Corporate Bonds?; The Credit Spread Premium; Measuring the Credit Spread Premium for the IG Corporate Index; Alternative Corporate Indexes; Capturing Spread Premium: Adopting an Alternative Corporate Benchmark; CHAPTER 13 Risk and Performance of Fallen Angels; Data and Methodology; Performance Dynamics around Rating Events Fallen Angels as an Asset Class |
ISBN: | 1-283-33751-7 ; 978-1-118-16736-6 ; 978-1-283-33751-9 ; 978-1-118-11769-9 ; 978-1-118-16736-6 ; 978-1-118-11769-9 ; 1-283-33748-7 |
Classification: | Investition, Finanzierung |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012678669