Active Credit Portfolio Management is popular PDF and ePub book, written by Jochen Felsenheimer in 2006-03-10, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Active Credit Portfolio Management can be Read Online from any device for your convenience.
Active Credit Portfolio Management Book PDF Summary
The introduction of the euro in 1999 marked the starting point of the development of a very liquid and heterogeneous EUR credit market, which exceeds EUR 350bn with respect to outstanding corporate bonds. As a result, credit risk trading and credit portfolio management gained significantly in importance. The book shows how to optimize, manage, and hedge liquid credit portfolios, i.e. applying innovative derivative instruments. Against the background of the highly complex structure of credit derivatives, the book points out how to implement portfolio optimization concepts using credit-relevant parameters, and basic Markowitz or more sophisticated modified approaches (e.g., Conditional Value at Risk, Omega optimization) to fulfill the special needs of an active credit portfolio management on a single-name and on a portfolio basis (taking default correlation within a credit risk model framework into account). This includes appropriate strategies to analyze the impact from credit-relevant newsflow (macro- and micro-fundamental news, rating actions, etc.). As credits resemble equity-linked instruments, we also highlight how to implement debt-equity strategies, which are based on a modified Merton approach. The book is obligatory for credit portfolio managers of funds and insurance companies, as well as bank-book managers, credit traders in investment banks, cross-asset players in hedge funds, and risk controllers.
Detail Book of Active Credit Portfolio Management PDF
- Author : Jochen Felsenheimer
- Release : 10 March 2006
- Publisher : John Wiley & Sons
- ISBN : 9783527501984
- Genre : Business & Economics
- Total Page : 581 pages
- Language : English
- PDF File Size : 11,9 Mb
If you're still pondering over how to secure a PDF or EPUB version of the book Active Credit Portfolio Management by Jochen Felsenheimer, don't worry! All you have to do is click the 'Get Book' buttons below to kick off your Download or Read Online journey. Just a friendly reminder: we don't upload or host the files ourselves.