Quantitative Credit Portfolio Management is an innovative approach to post-crash Credit Portfolio Management. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's Credit managers and risk analysts. A targeted volume in the area of Credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the Credit crisis of 2008-2009.
In this book, the authors:
Build a case for a Duration Times Spread (DTS) approach to forecasting spread changes and managing risk in credit portfolios based on their finding that spread volatility is linearly related to spread levels
Introduce a security-level numeric measure of transaction costs--Liquidity Cost Scores (LCS)--which enables investors to quantify the liquidity component of credit spreads and construct portfolios with desired liquidity characteristics
Examine "fallen angels" themselves, as a separate asset class, with superior risk and return characteristics
"Lev Dynkin and his team are the highest authority on fixed income portfolio analytics. Their thoughtful and rigorous quantitative research, unparalleled access to high quality data, and cooperative approach with leading fixed income managers sets them apart."