Last edited by Akiran
Thursday, May 7, 2020 | History

6 edition of Managing credit risk in corporate bond portfolios found in the catalog.

Managing credit risk in corporate bond portfolios

a practitioner"s guide

by Srichander Ramaswamy

  • 23 Want to read
  • 31 Currently reading

Published by Wiley in Hoboken, NJ .
Written in English

    Subjects:
  • Credit.,
  • Bonds.,
  • Risk management.

  • Edition Notes

    Includes bibliographical references and index.

    StatementSrichander Ramaswamy.
    SeriesFrank J. Fabozzi series
    Classifications
    LC ClassificationsHG3701 .R36 2004
    The Physical Object
    Paginationxiv, 274 p. :
    Number of Pages274
    ID Numbers
    Open LibraryOL3324700M
    ISBN 100471430374
    LC Control Number2004297882
    OCLC/WorldCa53030988

    Thus the changes in credit risk affect market prices through spreads or credit ratings, infringing on the purity of the market risk estimation. As credit markets expand and deepen, information such as spreads and downgrades contributes directly, in an increased manner, to the positions' valuation in the corporate bond portfolios.   Credit portfolio management (CPM) is a key function for banks (and other financial institutions, including insurers and institutional investors) with large, multifaceted portfolios of credit, often including illiquid loans. Historically, its role has been to understand the institution’s aggregate credit risk, improve returns on those risks—sometimes by trading loans in the secondary market.

      Learn more about popular passive, quasi-passive, immunization, and active bond strategies for managing a bond portfolio and how you can put them to work for you.   US Videos Mitigating Risk in Corporate Bonds Morningstar credit analyst David Sekera outlines ways fixed-income investors can stay ahead of interest rate and credit risk.

    Integrated Market and Credit Risk Management of Fixed Income Portfolios Roger Walder1 First Version: May This Version: November 1 P os t al dre: Ch m i nSu -x 10B,H 6 y w z. Email: [email protected] Managing Credit Risk In Corporate Bond Portfolios è un libro di Ramaswamy Srichander edito da John Wiley & Sons a gennaio - EAN puoi acquistarlo sul .


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Managing credit risk in corporate bond portfolios by Srichander Ramaswamy Download PDF EPUB FB2

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 by: 8.

In Managing Credit Risk in Corporate Bond Portfolios: A Practitioner’s Managing credit risk in corporate bond portfolios book, 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.1/5(1).

Managing Credit Risk in Corporate Bond Portfolios: A Practitioner’s Guide by Srichander Ramaswamy Professional Perspectives in Fixed Income Portfolio Management, Volume Four by Frank J.

Fabozzi PQG-FM[00i-0xiv].qxd 10/14/03 AM Page ii Quark03 QuarkBOOKS:PRD:PQ/Ramaswa. Managing Credit Risk in Corporate Bond Portfolios: A Practitioner's Guide by Srichander Ramaswamy; Frank J. Fabozzi. Wiley & Sons, Incorporated, John, Hardcover. Very Good. Disclaimer:A copy that has been read, but remains in excellent condition.

A Practitioner's Guide. Author: Srichander Ramaswamy; Publisher: John Wiley & Sons ISBN: Category: Business & Economics Page: View: DOWNLOAD NOW» 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.

Rounding out the topic of corporate bond portfolio management, Managing a Corporate Bond Portfolio presents an analytical framework for valuing embedded options, and explores redemption analysis through an examination of how option values are affected by credit risk, and the valuation of putable bonds and their use in portfolio strategies.5/5(2).

Managing Credit Risk in Corporate Bond Portfolios reveals readers the easiest way to measure and deal with the risks of a company bond portfolio in the direction of its benchmark. Managing Credit Risk in Corporate Bond Portfolios: A Practitioner’s Guide.

by Srichander Ramaswamy. Professional Perspectives in Fixed Income Portfolio Management, Volume Four. by Frank J. Fabozzi. PQG-FM[00i-0xiv].qxd 10/14/03 AM Page ii Quark03 QuarkBOOKS:PRD:PQ/Ramaswa.

Portfolio credit risk lWe have seen so far that for a single corporate bond, the credit risk can be quantified in terms of its expected loss EL and unexpected loss UL lOne can think of extending this credit risk quantification frame-work to a portfolio of corporate bonds lUnder such a framework, the credit risk of the corporate bond.

and liquidity risk in bond portfolio management. Government bonds are subject only to market risk. Modern risk management uses various methods of computing value at risk as a standard measure for market risk.

Corporate bonds are subject to credit risk in addition to interest rate risk. Credit risk measures have beenFile Size: KB. Find helpful customer reviews and review ratings for Managing Credit Risk in Corporate Bond Portfolios: A Practitioner's Guide at Read honest and 1/5.

Principles for the Management of Credit Risk I. Introduction 1. While financial institutions have faced difficulties over the years for a multitude of reasons, the major cause of serious banking problems continues to be directly related to lax credit standards for borrowers and counterparties, poor portfolio risk management, or a lack.

Find helpful customer reviews and review ratings for Managing Credit Risk in Corporate Bond Portfolios: A Practitioner's Guide (Frank J. Fabozzi Series Book ) at Read honest and unbiased product reviews from our users.1/5. the key historical risk-return characteristics of corporate bonds in Section 3.

Section 4 then describes the portfolio properties of corporate bonds and assesses the portfolio implications of different allocations across the three asset classes.

Finally, we conclude in Section 5. Data and methodologyFile Size: KB. 1. Srichander Ramaswamy 1. Head of Investment Analysis at the Bank for International Settlements in Basel, Switzerland.

(amy{at}) The author proposes a portfolio selection method to manage market risk and credit risk in a corporate bond portfolio relative to its benchmark. He formulates an optimization problem that minimizes the variance of the loss distribution Cited by: 9.

Credit Risk: from transaction to portfolio management provides high level, focused analysis of the nature of credit risk in investment bank portfolio management. Written by experienced international practitioners, it offers in-depth information and advice that will help all those charged with managing credit risk at the sharp end.

Corporate bonds are considered to have a higher risk than government bonds, which is why interest rates are almost always higher on corporate bonds, even for companies with top-flight credit Author: David R. Harper. oversee the credit risk management framework.

The framework should cover areas such as approval of business and credit risk strategy, review of the credit portfolio and profile, approval of credit policy, delegation of credit 3 Other relevant industry standards should also.

Managing Credit Risk in Corporate Bond Portfolios discusses 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.

The first step in effective credit risk management is to gain a complete understanding of a bank’s overall credit risk by viewing risk at the individual, customer and portfolio levels. While banks strive for an integrated understanding of their risk profiles, much information is often scattered among business units.

sovereign credit risk in bond portfolios and gives very appealing results with respect to active management of bond portfolios. Keywords: Sovereign credit risk, credit spread, convex risk measure, sabr model, CDS, bond indices, fundamental indexation, risk-based indexation, risk budgeting.

JEL classification: G11, C58, C60, H 1 Introduction.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.Managing credit risk in corporate bond portfolios: a practitioner's guide. [Srichander Ramaswamy] -- 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 .