{"product_id":"managing-credit-risk-in-corporate-bond-portfolios-isbn-9780471430377","title":"Managing Credit Risk in Corporate Bond Portfolios","description":"Expert guidance on managing credit risk in bond portfolios\u003cbr\u003e Managing Credit Risk in Corporate Bond Portfolios shows readers how to measure and manage the risks of a corporate bond portfolio against its benchmark. This comprehensive guide explores a wide range of topics surrounding credit risk and bond portfolios, including the similarities and differences between corporate and government bond portfolios, yield curve risk, default and credit migration risk, Monte Carlo simulation techniques, and portfolio selection methods.\u003cbr\u003e Srichander Ramaswamy, PhD (Basel, Switzerland), is Head of Investment Analysis at the Bank for International Settlements (BIS) in Basel, Switzerland, and Adjunct Professor of Banking and Finance, University of Lausanne.  Foreword.  \u003cp\u003ePreface.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1. Introduction.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMotivation.\u003c\/p\u003e \u003cp\u003eSummary of the Book.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2. Mathematical Preliminaries.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eProbability Theory.\u003c\/p\u003e \u003cp\u003eLinear Algebra.\u003c\/p\u003e \u003cp\u003eQuestions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3. The Corporate Bond Market.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFeatures of Corporate Bonds.\u003c\/p\u003e \u003cp\u003eCorporate Bond Trading.\u003c\/p\u003e \u003cp\u003eRole of Corporate Bonds.\u003c\/p\u003e \u003cp\u003eRelative Market Size.\u003c\/p\u003e \u003cp\u003eHistorical Performance.\u003c\/p\u003e \u003cp\u003eThe Case for Corporate Bonds.\u003c\/p\u003e \u003cp\u003eQuestions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4. Modeling Market Risk.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eInterest Rate Risk.\u003c\/p\u003e \u003cp\u003ePortfolio Aggregates.\u003c\/p\u003e \u003cp\u003eDynamics of the Yield Curve.\u003c\/p\u003e \u003cp\u003eOther Sources of Market Risk.\u003c\/p\u003e \u003cp\u003eMarket Risk Model.\u003c\/p\u003e \u003cp\u003eQuestions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5. Modeling Credit Risk.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eElements of Credit Risk.\u003c\/p\u003e \u003cp\u003eQuantifying Credit Risk.\u003c\/p\u003e \u003cp\u003eNumerical Examples.\u003c\/p\u003e \u003cp\u003eQuestions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6. Portfolio Credit Risk.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eQuantifying Portfolio Credit Risk.\u003c\/p\u003e \u003cp\u003eDefault Correlation.\u003c\/p\u003e \u003cp\u003eDefault Mode: Two-Bond Portfolio.\u003c\/p\u003e \u003cp\u003eEstimating Asset Return Correlation.\u003c\/p\u003e \u003cp\u003eCredit Risk Under Migration Mode.\u003c\/p\u003e \u003cp\u003eNumerical Example.\u003c\/p\u003e \u003cp\u003eQuestions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7. Simulating the Loss Distribution.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMonte Carlo Methods.\u003c\/p\u003e \u003cp\u003eCredit Loss Simulation.\u003c\/p\u003e \u003cp\u003eTail Risk Measures.\u003c\/p\u003e \u003cp\u003eNumerical Results.\u003c\/p\u003e \u003cp\u003eQuestions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8. Relaxing the Normal Distribution Assumption.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMotivation.\u003c\/p\u003e \u003cp\u003ePortfolio Credit Risk.\u003c\/p\u003e \u003cp\u003eLoss Simulation.\u003c\/p\u003e \u003cp\u003eAppendix.\u003c\/p\u003e \u003cp\u003eQuestions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9. Risk Reporting and Performance Attribution.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eRelative Credit Risk Measures.\u003c\/p\u003e \u003cp\u003eMarginal Credit Risk Contribution.\u003c\/p\u003e \u003cp\u003ePortfolio Credit Risk Report.\u003c\/p\u003e \u003cp\u003ePortfolio Market Risk Report.\u003c\/p\u003e \u003cp\u003ePerformance Attribution.\u003c\/p\u003e \u003cp\u003eQuestions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10. Portfolio Optimization.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePortfolio Selection Techniques.\u003c\/p\u003e \u003cp\u003eOptimization Methods.\u003c\/p\u003e \u003cp\u003ePractical Difficulties.\u003c\/p\u003e \u003cp\u003ePortfolio Construction.\u003c\/p\u003e \u003cp\u003ePortfolio Rebalancing.\u003c\/p\u003e \u003cp\u003eDevil in the Parameters: A Case Study.\u003c\/p\u003e \u003cp\u003eQuestions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11. Structured Credit Products.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction to CDOs.\u003c\/p\u003e \u003cp\u003eAnatomy of a CDO Transaction.\u003c\/p\u003e \u003cp\u003eMajor Sources of Risk in CDOs.\u003c\/p\u003e \u003cp\u003eRating a CDO Transaction.\u003c\/p\u003e \u003cp\u003eTradable Corporate Bond Baskets.\u003c\/p\u003e \u003cp\u003eQuestions.\u003c\/p\u003e \u003cp\u003eSolutions to End-of-Chapter Questions.\u003c\/p\u003e \u003cp\u003eIndex.\u003c\/p\u003e \u003cb\u003eSrichander Ramaswamy\u003c\/b\u003e is Head of Investment Analysis at the Bank for International Settlements (BIS) in Basel, Switzerland, and Adjunct Professor of Banking and Finance, University of Lausanne. Previously, he was a financial engineer with Credit Suisse in Zurich. Dr. Ramaswamy is a contributor to the \u003ci\u003eJournal of Portfolio Management\u003c\/i\u003e and other professional journals. He holds a PhD in aerospace engineering from the University of Cincinnati.  \"With this clear and comprehensive guide, the reader has an excellent basis on which to build up an advanced credit risk management system. Ramaswamy provides clear answers to important questions such as tail dependence and relative credit risk measures while keeping the right balance between practical relevance and technical sophistication.\"\u003cbr\u003e –Dr. Yue Sung, Head of Risk Control, Deutsche Bundesbank  \u003cp\u003e\"This book bridges the gap between theory and practice in the quantitative management of corporate bond portfolios. Different distributional assumptions are utilized and discussed in the context of practical portfolio management examples. I recommend this book to practitioners as a useful introduction to the quantitative issues of corporate bond portfolio management.\"\u003cbr\u003e –Lev Dynkin, Managing Director\u003cbr\u003e Lehman Brothers, Quantitative Portfolio Strategies\u003c\/p\u003e \u003cp\u003eIn Managing Credit Risk in Corporate Bond Portfolios: A Practitioner’s Guide, investment expert Srichander Ramaswamy skillfully explains how you can begin to measure and manage the relative credit risk of a co rporate bond portfolio against its benchmark. By combining risk management concepts with portfolio construction techniques, and examining the role that quantitative methods play in the integration process, this comprehensive guide provides much-needed answers to numerous corporate bond portfolio management questions. Filled with practical advice and challenging end-of-chapter questions, this book can help you become a better-informed and more efficient player in the financial system–whether you’re an institutional investor in need of important risk guidelines or a portfolio manager looking to rebalance positions.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989564014821,"sku":"NP9780471430377","price":99.95,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471430377.jpg?v=1761784614","url":"https:\/\/k12savings.com\/products\/managing-credit-risk-in-corporate-bond-portfolios-isbn-9780471430377","provider":"K12savings","version":"1.0","type":"link"}