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

ISBN: 9780471430377
Publisher: Wiley
Edition:
Publication Date: 2003-12-01
Number of pages: 288
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  • Regular price $36.99

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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.

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