Quantitative Credit Portfolio Management

Full Name
Quantitative Credit Portfolio Management: Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk

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

  • Demonstrate an approach to optimal diversification of issuer-specific risk in credit portfolios

  • Suggest downgrade-tolerant credit portfolios as a way to avoid discarding credit spread premium with the forced liquidation of "fallen angels" as they get dropped from investment grade indices

  • Examine "fallen angels" themselves, as a separate asset class, with superior risk and return characteristics

"By applying these concepts to the portfolio construction process, we have gained more confidence in the robustness of our portfolios."

–Eduard van Gelderen, CIO, Capital Markets, APG Asset Management, Netherlands

"The practical orientation of this book on institutional credit portfolio management makes it particularly useful for practitioners. All key areas of interest are well covered."

–Lim Chow Kiat, President, GIC Asset Management, Singapore

"A must-read for all future and current credit portfolio managers."

–Curtis Ishii, Head of Global Fixed Income, California Public Employees' Retirement System

"This book provides enormous insights for beginning practitioners looking to learn the most advanced credit management techniques."

–Jan Straatman, Global CIO, ING Investment Management, Netherlands

"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."

–Carolyn Gibbs and Rich King, Co-Heads of U.S. Taxable Fixed Income and Global High Income, Invesco

"Practical instructions advocated in this book are best practices that we already rely on in our credit investment process for superior active management."

–Ibrahima Kobar, CIO, Fixed Income, Natixis Asset Management, France