Quantitative Credit Portfolio Management: Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk / Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps

Credit portfolio managers traditionally rely on fundamentalresearch for decisions on issuer selection and sector rotation.Quantitative researchers tend to use more mathematical techniquesfor pricing models and to quantify credit risk and relative value.The information found here bridges these two approaches. In anintuitive and readable style, this book illustrates howquantitative techniques can help address specific questions facingtoday's credit managers and risk analysts.

A targeted volume in the area of credit, this reliable resourcecontains some of the most recent and original research in thisfield, which addresses among other things important questionsraised by the credit crisis of 2008-2009. Divided into twocomprehensive parts, Quantitative Credit PortfolioManagement offers essential insights into understanding therisks of corporate bonds—spread, liquidity, and Treasuryyield curve risk—as well as managing corporate bondportfolios.

• Presents comprehensive coverage of everything from durationtime spread and liquidity cost scores to capturing the creditspread premium
• Written by the number one ranked quantitative research groupfor four consecutive years by Institutional Investor
• Provides practical answers to difficult question, including:What diversification guidelines should you adopt to protectportfolios from issuer-specific risk? Are you well-advised to sellsecurities downgraded below investment grade?

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