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Quantitative Credit Portfolio Management "Practical Innovations for Measuring and Controlling Liquidity, S"

Quantitative Credit Portfolio Management "Practical Innovations for Measuring and Controlling Liquidity, S"

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  • ISBN:9781118117699
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
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  • Nº Pág.:416
  • Idiomas:Español

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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.

Foreword xvii Introduction xix Notes on Terminology xxvii PART ONE Measuring the Market Risks of Corporate Bonds CHAPTER 1 Measuring Spread Sensitivity of Corporate Bonds 3 Analysis of Corporate Bond Spread Behavior 5 A New Measure of Excess Return Volatility 20 Refinements and Further Tests 25 Summary and Implications for Portfolio Managers 30 Appendix: Data Description 34 CHAPTER 2 DTS for Credit Default Swaps 39 Estimation Methodology 40 Empirical Analysis of CDS Spreads 41 Appendix: Quasi-Maximum Likelihood Approach 51 CHAPTER 3 DTS for Sovereign Bonds 55 Spread Dynamics of Emerging Markets Debt 55 DTS for Developed Markets Sovereigns: The Case of Euro Treasuries 59 Managing Sovereign Risk Using DTS 66 CHAPTER 4 A Theoretical Basis for DTS 73 The Merton Model: A Zero-Coupon Bond 74 Dependence of Slope on Maturity 77 CHAPTER 5 Quantifying the Liquidity of Corporate Bonds 81 Liquidity Cost Scores (LCS) for U.S. Credit Bonds 82 Liquidity Cost Scores: Methodology 88 LCS for Trader-Quoted Bonds 92 LCS for Non-Quoted Bonds: The LCS Model 96 Testing the LCS Model: Out-of-Sample Tests 102 LCS for Pan-European Credit Bonds 113 Using LCS in Portfolio Construction 123 Trade Efficiency Scores (TES) 129 CHAPTER 6 Joint Dynamics of Default and Liquidity Risk 133 Spread Decomposition Methodology 138 What Drives OAS Differences across Bonds? 139 How Has the Composition of OAS Changed? 141 Spread Decomposition Using an Alternative Measure of Expected Default Losses 145 High-Yield Spread Decomposition 147 Applications of Spread Decomposition 147 Alternative Spread Decomposition Models 150 Appendix 152 CHAPTER 7 Empirical versus Nominal Durations of Corporate Bonds 157 Empirical Duration: Theory and Evidence 159 Segmentation in Credit Markets 173 Potential Stale Pricing and Its Effect on Hedge Ratios 173 Hedge Ratios Following Rating Changes: An Event Study Approach 179 Using Empirical Duration in Portfolio Management Applications 186 PART TWO Managing Corporate Bond Portfolios CHAPTER 8 Hedging the Market Risk in Pairs Trades 197 Data and Hedging Simulation Methodology 199 Analysis of Hedging Results 200 Appendix: Hedging Pair-Wise Trades with Skill 208 CHAPTER 9 Positioning along the Credit Curve 213 Data and Methodology 214 Empirical Analysis 217 CHAPTER 10 The 2007-2009 Credit Crisis 229 Spread Behavior during the Credit Crisis 229 Applications of DTS 234 Advantages of DTS in Risk Model Construction 244 CHAPTER 11 A Framework for Diversification of Issuer Risk 249 Downgrade Risk before and after the Credit Crisis 250 Using DTS to Set Position-Size Ratios 257 Comparing and Combining the Two Approaches to Issuer Limits 260 CHAPTER 12 How Best to Capture the Spread Premium of Corporate Bonds? 265 The Credit Spread Premium 266 Measuring the Credit Spread Premium for the IG Corporate Index 266 Alternative Corporate Indexes 279 Capturing Spread Premium: Adopting an Alternative Corporate Benchmark 288 CHAPTER 13 Risk and Performance of Fallen Angels 295 Data and Methodology 298 Performance Dynamics around Rating Events 303 Fallen Angels as an Asset Class 319 CHAPTER 14 Obtaining Credit Exposure Using Cash and Synthetic Replication 337 Cash Credit Replication (TCX) 338 Synthetic Replication of Cash Indexes 351 Credit RBIs 358 References 367 Index 371

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