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Active Credit Portfolio Management: A Practical Guide to Credit Risk Management Strategies by Jochen Felsenheimer, Philip Gisdakis, Michael Zaiser

Active Credit Portfolio Management: A Practical Guide to Credit Risk Management Strategies

by Jochen Felsenheimer , Philip Gisdakis , Michael Zaiser
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Hardcover: Hardcover
  • ISBN13: 9783527501984
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Wiley
  • Publisher Imprint: Wiley-VCH
  • Publication Date:
  • Pages: 581
  • Original Price: USD 145.0
  • Language: English
  • Edition: N/A
  • Item Weight: 1030 grams
  • BISAC Subject(s): Accounting / Managerial

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.





Dr. Jochen Felsenheimer arbeitet bei HVB Corporates & Markets und leitet derzeit das Credit & Credit Derivatives Strategy Team, einem Fachbereich im HVB Global Markets Research. Er hat im Fach Volkswirtschaftslehre an der Ludwigs-Maximilians-Universität München promoviert.

Dr. Philip Gisdakis arbeitet als Quantitative Credit Strategist. Er studierte Finanzmathematik an der University of Oxford und hat im Fach Theoretische Chemie an der Technischen Universität München promoviert.

Michael Zaiser ist als Credit Strategist für HVB Corporates & Markets tätig. Er hat Betriebswirtschaftslehre und Mathematik an der Johann Wolfgang Goethe-Universität Frankfurt am Main studiert.

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