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基本説明
Explores a wide range of topics 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.
Full Description
Expert guidance on managing credit risk in bond portfolios
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.
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.
Contents
Foreword. Preface.
Chapter 1. Introduction.
Motivation.
Summary of the Book.
Chapter 2. Mathematical Preliminaries.
Probability Theory.
Linear Algebra.
Questions.
Chapter 3. The Corporate Bond Market.
Features of Corporate Bonds.
Corporate Bond Trading.
Role of Corporate Bonds.
Relative Market Size.
Historical Performance.
The Case for Corporate Bonds.
Questions.
Chapter 4. Modeling Market Risk.
Interest Rate Risk.
Portfolio Aggregates.
Dynamics of the Yield Curve.
Other Sources of Market Risk.
Market Risk Model.
Questions.
Chapter 5. Modeling Credit Risk.
Elements of Credit Risk.
Quantifying Credit Risk.
Numerical Examples.
Questions.
Chapter 6. Portfolio Credit Risk.
Quantifying Portfolio Credit Risk.
Default Correlation.
Default Mode: Two-Bond Portfolio.
Estimating Asset Return Correlation.
Credit Risk Under Migration Mode.
Numerical Example.
Questions.
Chapter 7. Simulating the Loss Distribution.
Monte Carlo Methods.
Credit Loss Simulation.
Tail Risk Measures.
Numerical Results.
Questions.
Chapter 8. Relaxing the Normal Distribution Assumption.
Motivation.
Portfolio Credit Risk.
Loss Simulation.
Appendix.
Questions.
Chapter 9. Risk Reporting and Performance Attribution.
Relative Credit Risk Measures.
Marginal Credit Risk Contribution.
Portfolio Credit Risk Report.
Portfolio Market Risk Report.
Performance Attribution.
Questions.
Chapter 10. Portfolio Optimization.
Portfolio Selection Techniques.
Optimization Methods.
Practical Difficulties.
Portfolio Construction.
Portfolio Rebalancing.
Devil in the Parameters: A Case Study.
Questions.
Chapter 11. Structured Credit Products.
Introduction to CDOs.
Anatomy of a CDO Transaction.
Major Sources of Risk in CDOs.
Rating a CDO Transaction.
Tradable Corporate Bond Baskets.
Questions.
Solutions to End-of-Chapter Questions.
Index.
