Coverart for item
The Resource Quantitative credit portfolio management : practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk, Arik ben Dor ... [et al.], (electronic resource)

Quantitative credit portfolio management : practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk, Arik ben Dor ... [et al.], (electronic resource)

Label
Quantitative credit portfolio management : practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk
Title
Quantitative credit portfolio management
Title remainder
practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk
Statement of responsibility
Arik ben Dor ... [et al.]
Contributor
Subject
Language
eng
Summary
  • "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"--
  • "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"--
  • "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"--
Assigning source
  • Provided by publisher
  • Provided by publisher
  • Provided by publisher
Cataloging source
DLC
Dewey number
332.63/2
LC call number
HG6024.A3
LC item number
.Q36 2012
http://library.link/vocab/relatedWorkOrContributorDate
1957-
http://library.link/vocab/relatedWorkOrContributorName
Dor, Arik ben
Series statement
Frank J. Fabozzi series
Series volume
202
http://library.link/vocab/subjectName
  • Credit derivatives
  • Portfolio management
  • Investment analysis
  • BUSINESS & ECONOMICS / Finance
Label
Quantitative credit portfolio management : practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk, Arik ben Dor ... [et al.], (electronic resource)
Instantiates
Publication
Note
Includes index
Control code
OCM1bookssj0000551954
Dimensions
24 cm.
Dimensions
unknown
Edition
1st ed.
Extent
xxviii, 388 p.
Governing access note
License restrictions may limit access
Isbn
9781118117699
Isbn Type
(hardback)
Lccn
2011039273
Other physical details
ill.
Specific material designation
remote
System control number
(WaSeSS)ssj0000551954
Label
Quantitative credit portfolio management : practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk, Arik ben Dor ... [et al.], (electronic resource)
Publication
Note
Includes index
Control code
OCM1bookssj0000551954
Dimensions
24 cm.
Dimensions
unknown
Edition
1st ed.
Extent
xxviii, 388 p.
Governing access note
License restrictions may limit access
Isbn
9781118117699
Isbn Type
(hardback)
Lccn
2011039273
Other physical details
ill.
Specific material designation
remote
System control number
(WaSeSS)ssj0000551954

Library Locations

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      1 University Blvd, St. Louis, MO, 63121, US
      38.710138 -90.311107
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