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48%OFFBen Dor, Dynkin, Hyman, Phelps - Quantitative Credit Portfolio Management: Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk - 9781118117699 - 9781118117699
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Quantitative Credit Portfolio Management: Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk

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Description for Quantitative Credit Portfolio Management: Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk hardcover. An 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. Series: Frank J. Fabozzi Series. Num Pages: 416 pages, Illustrations. BIC Classification: KFFK. Category: (P) Professional & Vocational. Dimension: 232 x 164 x 35. Weight in Grams: 684.
An 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 questions facing today's credit managers and risk analysts.

A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which ... Read more

  • Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium
  • Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor
  • Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade?

Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events.

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Product Details

Format
Hardback
Publication date
2012
Publisher
Wiley
Condition
New
Series
Frank J. Fabozzi Series
Number of Pages
416
Place of Publication
New York, United States
ISBN
9781118117699
SKU
9781118117699
Shipping Time
Usually ships in 2 to 4 working days
Ref
99-1

About Ben Dor, Dynkin, Hyman, Phelps
ARIK BEN DOR, PHD, is a Director and Senior Analyst in the Quantitative Portfolio Strategy (QPS) Group at Barclays Capital Research. He joined the group in 2004 after completing a PhD in finance from the Kellogg School of Management. Ben Dor has published extensively in the Journal of Portfolio Management, Journal of Fixed Income, and Journal of Alternative Investments. ... Read more

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