The introduction of the euro in 1999 marked the starting point of the development of a very liquid and heterogeneous EUR credit market, which exceeds EUR 350bn with respect to outstanding corporate bonds. As a result, credit risk trading and credit portfolio management gained significantly in importance. The book shows how to optimize, manage, and hedge liquid credit portfolios, i.e. applying innovative derivative instruments. Against the background of the highly complex structure of credit derivatives, the book points out how to implement portfolio optimization concepts using credit-relevant parameters, and basic Markowitz or more sophisticated modified approaches (e.g., Conditional Value at Risk, Omega optimization) to fulfill the special needs of an active credit portfolio management on a single-name and on a portfolio basis (taking default correlation within a credit risk model framework into account). This includes appropriate strategies to analyze the impact from credit-relevant newsflow (macro- and micro-fundamental news, rating actions, etc.). As credits resemble equity-linked instruments, we also highlight how to implement debt-equity strategies, which are based on a modified Merton approach. The book is obligatory for credit portfolio managers of funds and insurance companies, as well as bank-book managers, credit traders in investment banks, cross-asset players in hedge funds, and risk controllers.

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Wiley-VCH GmbH
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Dr. Jochen Felsenheimer works for HVB Corporates & Markets and is currently heading the Credit & Credit Derivatives Strategy team, a department of HVB Global Markets Research. He holds a PhD in Economics from Ludwigs-Maximilians-Universität München. Dr. Philip Gisdakis is a Quantitative Credit Strategist. He studied Mathematical Finance at the University of Oxford and holds a PhD degree in Theoretical Chemistry from Technische Universität München. Michael Zaiser is a Credit Strategist at HVB Corporates & Markets. He studied Business Administration and Mathematics at Johann Wolfgang Goethe-Universität Frankfurt am Main.

Leseprobe

Foreword Introduction and Acknowledgements Part I Markets 1 Market Structure 2 Instruments 3 Company and Debt Instrument Analysis 4 The Economic of Creditt Spreads Part II Models 5 Fixed Income Basics 6 Spread Measures 7 Basics of Credit Risk Models 8 Single-Name Models 9 Portfolio Models 10 Valuation of Credit Derivatives 11 Portfolio Risk Measurement Part II Management 12 Principles of Credit Portfolio Management 13 Portfolio Allocation 14 Performance Measures 15 Performance Analysis 16 Hedging Credit Risk 17 Trading Strategies 18 Operational Issues: Accounting 19 Operational Issues: Basell II Part IV Appendix References Index