Srichander Ramaswamy, "Managing Credit Risk in Corporate Bond Portfolios: A Practitioner's Guide"
English | 2003 | ISBN: 0471430374 | PDF | pages: 291 | 1.2 mb
English | 2003 | ISBN: 0471430374 | PDF | pages: 291 | 1.2 mb
Expert guidance on managing credit risk in bond portfolios
Managing Credit Risk in Corporate Bond Portfolios shows readers howto measure and manage the risks of a corporate bond portfolioagainst its benchmark. This comprehensive guide explores a widerange of topics surrounding credit risk and bond portfolios,including the similarities and differences between corporate andgovernment bond portfolios, yield curve risk, default and creditmigration risk, Monte Carlo simulation techniques, and portfolioselection methods.
Srichander Ramaswamy, PhD (Basel, Switzerland), is Head ofInvestment Analysis at the Bank for International Settlements (BIS)in Basel, Switzerland, and Adjunct Professor of Banking andFinance, University of Lausanne.