An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit...

Frontmatter -- CONTENTS -- Foreword -- Acknowledgments -- Note on Authorship -- Introduction -- EVALUATING INVESTMENT STYLE -- INDEX REPLICATION -- BENCHMARK CUSTOMIZATION -- MANAGING CREDIT PORTFOLIOS -- MANAGING MORTGAGE PORTFOLIOS -- MANAGING CENTRAL BANK RESERVES -- OPTIMAL RISK BUDGETING...