, initial capital, position limits, and other trading constraints that credit swap investors often face in practice. The multi … portfolios. In particular, we find that credit swap investment constraints can have a significant impact on optimal portfolios …This paper formulates and solves the selection problem for a portfolio of credit swaps. The problem is cast as a goal …

Credit Risk Measurement in the Context of Basel II -- Concentration Risk in Credit Portfolios and Its Treatment Under … Basel II -- Model-Based Measurement of Name Concentration Risk in Credit Portfolios -- Model-Based Measurement of Sector … Concentration Risk in Credit Portfolios -- Conclusion …

investments, we document an outperformance of 100 to 200 bps per year, even after we account for the leverage costs of 100 bps. We …