Managing Credit Risk in Corporate Bond Portfolios A Practitioner's Guide [Hardcover]

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.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 ExamplelÓ>