书名：Managing Credit Risk in Corporate Bond Portfolios

作者：SRICHANDER RAMASWAMY

出版社：Wiley&sons

时间：2004年版

大小：3.12M 290页

格式：PDF

内容：CHAPTER 1 1
Introduction
Motivation 1
Summary of the Book 2
CHAPTER 2
Mathematical Preliminaries 5
Probability Theory 5
Characterizing Probability Distributions 5
Useful Probability Distributions 8
Joint Distributions 10
Stochastic Processes 12
Linear Algebra 13
Properties of Vectors 14
Transpose of a Matrix 14
Inverse of a Matrix 14
Eigenvalues and Eigenvectors 15
Diagonalization of a Matrix 15
Properties of Symmetric Matrices 15
Cholesky Decomposition 16
Markov Matrix 17
Principal Component Analysis 19
Questions 21
CHAPTER 3
The Corporate Bond Market 23
Features of Corporate Bonds 23
Bond Collateralization 24
Investment Risks 26
Corporate Bond Trading 28
Trading Costs 28
Portfolio Management Style 30
Pricing Anomalies 31
Role of Corporate Bonds 32
Relative Market Size 35
Historical Performance 37
The Case for Corporate Bonds 40
Central Bank Reserves 40
Pension Funds 47
Questions 50
CHAPTER 4
Modeling Market Risk 51
Interest Rate Risk 51
Modified Duration 52
Convexity 53
Approximating Price Changes 53
Bonds with Embedded Options 54
Portfolio Aggregates 56
Dynamics of the Yield Curve 57
Other Sources of Market Risk 61
Market Risk Model 61
Questions 65
CHAPTER 5
Modeling Credit Risk 67
Elements of Credit Risk 67
Probability of Default 68
Recovery Rate 75
Rating Migrations 77
Quantifying Credit Risk 81
Expected Loss Under Default Mode 83
Unexpected Loss Under Default Mode 86
Expected Loss Under Migration Mode 88
Unexpected Loss Under Migration Mode 91
Numerical Example 92
Questions 94
CHAPTER 6
Portfolio Credit Risk 95
Quantifying Portfolio Credit Risk 95
vi CONTENTS
Default Correlation 98
Relationship to Loss Correlation 99
Estimating Default Correlation 100
Default Mode: Two-Bond Portfolio 102
Estimating Asset Return Correlation 104
Factor Models 106
Approximate Asset Return Correlations 109
Credit Risk Under Migration Mode 111
Computing Joint Migration Probabilities 114
Computing Joint Credit Loss 114
Migration Mode: Two-Bond Portfolio 115
Portfolio Credit Risk 115
Numerical Example 118
Questions 121
CHAPTER 7
Simulating the Loss Distribution 123
Monte Carlo Methods 123
Credit Loss Simulation 125
Generating Correlated Asset Returns 126
Inferring Implied Credit Rating 128
Computing Credit Loss 128
Computing Expected Loss and Unexpected Loss 130
Importance Sampling 131
Tail Risk Measures 132
Credit Value at Risk 132
Expected Shortfall Risk 133
Numerical Results 135
Questions 138
CHAPTER 8
Relaxing the Normal Distribution Assumption 139
Motivation 140
Student’s t Distribution 140
Probability Density Function 142
Portfolio Credit Risk 142
Default Mode 143
Migration Mode 145
Loss Simulation 149
Appendix 151
Questions 154
Contents vii
CHAPTER 9
Risk Reporting and Performance Attribution 155
Relative Credit Risk Measures 156
Marginal Credit Risk Contribution 160
Portfolio Credit Risk Report 162
Risk Reporting During Economic Contractions 165
Portfolio Market Risk Report 168
Risk Guidelines 169
Performance Attribution 170
A Simple Attribution Model 172
Questions 175
CHAPTER 10
Portfolio Optimization 177
Portfolio Selection Techniques 178
Benefits of a Quantitative Approach 179
Optimization Methods 180
Linear Programming 180
Quadratic Programming 181
Nonlinear Programming 181
Practical Difficulties 182
Portfolio Construction 183
Setting Up the Constraints 185
The Optimization Problem 187
Optimal Portfolio Composition 188
Robustness of Portfolio Composition 191
Portfolio Rebalancing 191
Identifying Sell Transactions 192
Identifying the Rebalancing Trades 194
Numerical Results 197
Devil in the Parameters: A Case Study 199
Risk Reduction 203
Questions 204
CHAPTER 11
Structured Credit Products 206
Introduction to CDOs 207
Balance Sheet versus Arbitrage CDOs 207
Cash Flow versus Market Value CDOs 209
Cash versus Synthetic CDOs 210
Investor Motivations 210
viii CONTENTS
Anatomy of a CDO Transaction 211
Capital Structure 211
How the Transaction Evolves 213
Parties to a CDO 214
Structural Protections 215
Major Sources of Risk in CDOs 218
Interest Rate Risk 218
Liquidity Risk 219
Ramp-Up Risk 219
Reinvestment Risk 219
Prepayment Risk 220
Asset Manager Risk 220
Rating a CDO Transaction 221
Moody’s Method 222
Standard & Poor’s Method 226
Method of Fitch Ratings 228
Tradable Corporate Bond Baskets 230
Main Features of Tracers 231
Portfolio Composition and Risk Characteristics 231
Implied Credit Rating 233
Questions 236
SOLUTIONS TO END-OF-CHAPTER QUESTIONS 237
INDEX 262

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