By Jeffrey R. Bohn

ISBN-10: 0470080183

ISBN-13: 9780470080184

State of the art options and instruments had to facilitate powerful credits portfolio administration and powerful quantitative credits research

packed with in-depth insights and professional suggestion, energetic credits Portfolio administration in perform serves as a finished advent to either the speculation and real-world perform of credits portfolio administration. The authors have written a textual content that's technical adequate either when it comes to history and implementation to hide what practitioners and researchers desire for really employing most of these possibility administration instruments in huge enterprises yet which even as, avoids technical proofs in desire of genuine applications.  all through this ebook, readers should be brought to the theoretical foundations of this self-discipline, and find out about structural, reduced-form, and econometric types effectively utilized in the industry this present day. The publication is stuffed with hands-on examples and anecdotes. conception is illustrated with functional program. The authors' web site presents extra software program instruments within the kind of Excel spreadsheets, Matlab code and S-Plus code. each one element of the ebook concludes with overview questions designed to spark additional dialogue and mirrored image at the options offered.

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Additional info for Active Credit Portfolio Management in Practice

Example text

While we currently do not have fully developed models of liquidity, we do understand the following: 1. Many theoretical credit models underestimate credit spreads, in part because they do not account for a liquidity premium. 2. Large transactions or trades tend to be heavily impacted by lack of market liquidity. 3. While available approaches are still evolving, some measure of liquidity (even if ad hoc) should be incorporated into mark-tomarket and transfer pricing frameworks. 4. With the availability of CLOs and bespoke synthetic CDOs, we can develop an estimate of the cost of hedging through these vehicles that can assist us in finding an indirect estimate of the illiquidity premium.

Historically, credit has been defined in terms of the borrowing and lending of money. Credit transactions differ from other investments in the nature of the contract they represent. Contracts where fixed payments are determined up front over a finite time horizon differentiate a credit instrument from an equity instrument. Unlike credit instruments, equity instruments tend to have no specific time horizon in their structure and reflect a claim to a share of an entity’s future profits, no matter how large these profits become.

We touch briefly in this book on the state of this integration. Our primary interest lies in understanding how interest rates and credit spreads are related. The portfolio factor model structure we introduce in Chapter 8 can be modified to handle both credit-risky securities and market-risky securities. , economy- or sector-wide shifts in the drivers of default) into a security value. The increasingly heterogeneous (in terms of asset classes) nature of most financial institutions’ portfolios makes it even more important to build models with the flexibility to handle a variety of instruments.

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Active Credit Portfolio Management in Practice by Jeffrey R. Bohn

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