Book description
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 addresses among other things important questions raised by the
credit crisis of 2008-2009. Divided into two comprehensive parts,
Quantitative Credit Portfolio Management offers essential
insights into understanding the risks of corporate bonds-spread,
liquidity, and Treasury yield curve risk-as well as managing corporate
bond portfolios.
- 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.
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 on innovative approaches to managing risk in credit
portfolios and on performance analysis and optimization of hedge fund portfolios.
LEV DYNKIN, PhD, is the founder and Global Head of the
Quantitative Portfolio Strategy Group at Barclays Capital Research.
Dynkin and the QPS group joined Barclays Capital in 2008 from Lehman
Brothers where the group was a part of fixed income research since
1987-one of the longest tenures for an investor-focused research group
on Wall Street. QPS was rated first in Quantitative Portfolio Research
by Institutional Investor magazine for all three years that
this category was included in their fixed income survey. Dynkin is a
member of the editorial advisory board of the Journal of Portfolio
Management. He coauthored, with other members of QPS (including
Hyman and Phelps), Quantitative Management of Bond Portfolios.
JAY HYMAN, PhD, is a Managing Director in the Quantitative
Portfolio Strategy Group at Barclays Capital Research. He joined the
group in 1991 and has since worked on issues of risk budgeting, cost
of investment constraints, improved measures of risk sensitivities,
and optimal risk diversification for portfolios spanning all fixed
income asset classes. Hyman helped develop a number of innovative
measures that have been broadly adopted by portfolio managers and that
have changed standard industry practice.
BRUCE D. PHELPS, PhD, is a Managing Director in the
Quantitative Portfolio Strategy Group at Barclays Capital Research,
which he joined in 2000. Prior to that, he was an institutional
portfolio manager and head of fixed income at Ark Asset Management.
Phelps was also senior economist at the Chicago Board of Trade, where
he designed derivative contracts and electronic trading systems, and
an international credit officer and foreign exchange trader at Wells
Fargo Bank. Phelps is a member of the editorial board of the
Financial Analysts Journal.
