Quantitative Credit Portfolio Management: Practica l Innovations for Measuring and Controlling Liquid ity, Spread, and Issuer Concentration Risk Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk

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 risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's credit managers and risk analysts.

A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the credit crisis of 2008-2009. Divided into two comprehensive parts, Quantitative Credit Portfolio Management offers essential insights into understanding the risks of corporate bonds--spread, liquidity, and Treasury yield curve risk--as well as managing corporate bond portfolios.
* Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium
* Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor
* Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade?

Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events.

How should managers measure the credit spread and Treasury curve risk in their portfolios?  Measuring these risks correctly would help position the portfolio relative to a benchmark and optimize the risk budget allocation to reflect the managers views. It would also determine the best ways to hedge these risks. Is a credit portfolio manager well-advised to sell securities downgraded below investment grade? How can managers quantify and target the liquidity of their portfolios, the importance of which was illustrated so strongly in the crisis of 2008-09? What part of the credit spread compensates investors for assuming default risk vs. liquidity risk? What diversification guidelines should credit managers adopt to protect their portfolios from issuer-specific risk? All of these questions were brought to the attention of the authors by credit investors--portfolio managers and risk analysts--looking for objective and practical advice on portfolio construction. The credit market events of the past decade have provided the authors with rich historical data of the behavior of credit securities in several crisis and "normal" markets on which to base answers. The goal of the QPS group is to answer investors questions using empirical studies and models offering new insights. While all of the work is based on objective, quantitative foundations, the researches always present conclusions and implementable recommendations in a non-technical way accessible to all managers.

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 risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's credit managers and risk analysts. A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the credit crisis of 2008-2009. Divided into two comprehensive parts, Quantitative Credit Portfolio Management offers essential insights into understanding the risks of corporate bonds--spread, liquidity, and Treasury yield curve risk--as well as managing corporate bond portfolios. Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade? Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events.