||8 of 8 people found the following review helpful.| From specialists for specialists|By C. Rotundo|The book is structured in two parts:
Part I deals with the two new measures for risk (DTS) and liquidity (LCS); Part II outlines their practical impact and usage in daily corporate bond portfolio management.
The new measures are derived by the authors thanks to their unique position and experience at Barclays|From the Inside Flap|Created by members of the Quantitative Portfolio Strategy Group at Barclays Capital Research—a recognized authority in this field—Quantitative Credit Portfolio Management contains new insights that credit market practitio
An innovative approach to post-crash credit portfolio management
Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques...
[PDF.ym02] Quantitative Credit Portfolio Management: Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk (Frank J. Fabozzi Series) Rating: 4.83 (417 Votes)
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