Active Credit Portfolio Management: A Practical Guide to Credit Risk Management Strategies
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Содержание:
Хозяин, Там, Второй шанс, Феномен, Поезд за кордон, Ассы, Бабье лето
Описание:
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 350 bn in respect to outstanding corporate bonds. Against this background, 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, 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...Похожие книги
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