(Ebook pdf) Quantitative Credit Portfolio Management: Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk (Frank J. Fabozzi Series)
·•●- Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps ·•●-
#766873 in eBooks 2011-11-08 2011-11-08File Name: B0065OQ34W
8 of 8 people found the following review helpful. From specialists for specialistsBy C. RotundoThe book is structured in two parts:Part I deals with the two new measures for risk (DTS) and liquidity (LCS); Part II outlines their practical impact and usage in daily corporate bond portfolio management.The new measures are derived by the authors thanks to their unique position and experience at Barclays Capital (and previously at Lehman Brothers) having at disposition huge amounts of data to studyAn 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 question... [PDF.wc53] Quantitative Credit Portfolio Management: Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk (Frank J. Fabozzi Series) Rating: 3.83 (606 Votes)
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