Managing Credit Risk in Corporate Bond Portfolios: A Practitioner's Guide by Sri

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This comprehensive guide discusses how to create a portfolio that will replicate or out-perform a corporate bond benchmark, while assessing the risk of various bonds held in that particular portfolio. It explores a wide range of topics surrounding credit risk and bond portfolios.

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Expert guidance on managing credit risk in bond portfoliosManaging 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.

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"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." -Dr. Yue Sung, Head of Risk Control, Deutsche Bundesbank "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." -Lev Dynkin, Managing Director Lehman Brothers, Quantitative Portfolio Strategies In 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.

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"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." -Dr. Yue Sung, Head of Risk Control, Deutsche Bundesbank "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." -Lev Dynkin, Managing Director Lehman Brothers, Quantitative Portfolio Strategies In 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.

Author Biography

Srichander Ramaswamy 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 Journal of Portfolio Management and other professional journals. He holds a PhD in aerospace engineering from the University of Cincinnati.

Table of 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.

Long Description

"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." -Dr. Yue Sung, Head of Risk Control, Deutsche Bundesbank "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." -Lev Dynkin, Managing Director Lehman Brothers, Quantitative Portfolio Strategies In 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.

Feature

Expert guidance on managing credit risk in bond portfolios. Illustrates how to construct portfolios that replicate risk-return characteristics of a given corporate benchmark. Includes specific tools used to quantify portfolio credit risk and compute default correlation. Contains numerous illustrative examples.

Details ISBN0471430374 Author Srichander Ramaswamy Short Title FRANK J FABOZZI MANAGING CREDI Language English ISBN-10 0471430374 ISBN-13 9780471430377 Media Book Format Hardcover Illustrations Yes Year 2004 Imprint John Wiley & Sons Inc Subtitle A Practitioner's Guide Place of Publication New York Country of Publication United States Edition 1st DOI 10.1604/9780471430377 Series Number 106 UK Release Date 2004-01-06 AU Release Date 2003-11-17 NZ Release Date 2003-11-17 Pages 288 Publisher John Wiley & Sons Inc Series Frank J. Fabozzi Series Publication Date 2004-01-06 DEWEY 332.6323 Audience Undergraduate US Release Date 2004-01-06 We've got this

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