Service-Telefon
+49(0)6151-988520
German English
Fachgebiete

Details

1473324 Felsenheimer, Jochen; Gisdakis, Philip; Zaiser, Michael:
Active Credit Portfolio Management
 A Practical Guide to Credit Risk Management Strategies
 Preis:   € 125,00

Einband: Gb
Auflage: 1. Auflage
Verlag: Wiley-VCH Verlag GmbH & Co. KGaA
Erscheinungsdatum: 11/2005
Seiten: 581 S.
Abbildungen: 123 Ill.

ISBN-10: 3-527-50198-3   
ISBN-13: 978-3-527-50198-4

In den Warenkorb

Weitere Fachbücher aus dem Fachgebiet:
Corporate Finance | Finanz- u. Anlagewesen | Rechnungswesen | 
zurück
Beschreibung
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.
Inhalt
Foreword
Introduction and Acknowledgements
Part I Markets
1 Market Structure
2 Instruments
3 Company and Debt Instrument Analysis
4 The Economic of Creditt Spreads
Part II Models
5 Fixed Income Basics
6 Spread Measures
7 Basics of Credit Risk Models
8 Single-Name Models
9 Portfolio Models
10 Valuation of Credit Derivatives
11 Portfolio Risk Measurement
Part II Management
12 Principles of Credit Portfolio Management
13 Portfolio Allocation
14 Performance Measures
15 Performance Analysis
16 Hedging Credit Risk
17 Trading Strategies
18 Operational Issues: Accounting
19 Operational Issues: Basell II
Part IV Appendix
References
Index
 © academic-books.com, Alle Rechte vorbehalten.