Active Credit Portfolio Management 2024 pdf epub mobi 电子书


Active Credit Portfolio Management

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发表于2024-12-25

Active Credit Portfolio Management 2024 pdf epub mobi 电子书

Active Credit Portfolio Management 2024 pdf epub mobi 电子书

Active Credit Portfolio Management 2024 pdf epub mobi 电子书



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出版者:John Wiley & Sons Inc
作者:Zaiser, Michael
出品人:
页数:581
译者:
出版时间:
价格:$ 197.75
装帧:HRD
isbn号码:9783527501984
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Active Credit Portfolio Management 2024 pdf epub mobi 电子书 图书描述

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.

Active Credit Portfolio Management 2024 pdf epub mobi 电子书

Active Credit Portfolio Management 2024 pdf epub mobi 电子书
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立刻按 ctrl+D收藏本页
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Active Credit Portfolio Management 2024 pdf epub mobi 电子书


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