Active Credit Portfolio Management

<body stylesrc="../_private/template_title.htm" topmargin="10" leftmargin="10" bgcolor="#FFFFFF" link="#333366" vlink="#000000" alink="#000000"> <div align="left"> <table border="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" cellpadding="0" id="table3"> <tr> <td width="780" align="center"> <div align="center"> <table border="0" cellpadding="5" cellspacing="0" height="206" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table4"> <tr> <td align="right" height="198" width="1%"> <p align="left"> <img border="0" src="../images/book_felsenheimer_gisdakis_zaiser_(2006).gif" width="142" height="200"></td> <td valign="top" align="left" height="198"> <table border="0" cellspacing="1" style="border-collapse: collapse" bordercolor="#111111" cellpadding="0" id="table5"> <tr> <td colspan="3" width="0%"> <p class="book_title">Active Credit Portfolio Management</td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> <img border="0" src="../images/blank_2x2.gif" width="2" height="2"><img border="0" src="../images/blank_2x2.gif" width="2" height="2"></td> <td width="52%" class="book_details_tags" valign="top" height="144" align="left" rowspan="9"> <map name="FPMap6"> <area href="../main/ratings.htm" shape="rect" coords="73, 0, 164, 32"> </map> <img border="0" src="../images_title/felsen7.gif" usemap="#FPMap6" width="193" height="189"></td> <td class="book_details" valign="baseline" height="112" align="center" width="50%" rowspan="7"> <map name="FPMap5"> <area target="_top" href="http://www.riskbook.com/link_topic/best_of_2006.htm" shape="rect" coords="0, 0, 124, 108"> </map> <img border="0" src="../images/best_of_award_2006.gif" width="125" height="109" usemap="#FPMap5"></td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> <td class="book_details" height="32" align="center" width="50%" rowspan="2"> </td> </tr> <tr> <td width="1%" class="book_details_tags" valign="top" height="16" align="left"> </td> </tr> </table> </td> </tr> </table> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="468" id="table6"> <tr> <td> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </div> <table border="0" cellpadding="5" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table7"> <tr> <td width="50%" valign="top"> <p align="left" class="body"><strong style="font-weight: 400">This is an astonishingly good book that goes well beyond its title. Sure, it covers the management of portfolios of credits from both an asset management and an asset-liability standpoint, but there is more—much more. Offering a sophisticated mix of market practice and finance theory, the book delves into the markets, instruments, conventions, pricing, and portfolio management of credit-sensitive instruments. </strong></p> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="125" align="left" id="table8"> <tr> <td width="120"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td><td width="5"> </td> </tr> </table> <p align="left" class="body"><strong style="font-weight: 400">The book is suitable for sophisticated buy-side professionals, but I also recommend it for sell-side analysts or systems professionals—indeed, any sell-side professional who doesn't already deal with credit products on a day-to-day basis. </strong></p> <p align="left" class="body"><strong style="font-weight: 400">What do I like about the book? First, I like how comprehensive it is, covering basics like instruments, compounding conventions and market participants before taking on more advanced topics. </strong></p> <p align="left" class="body"><strong style="font-weight: 400">Second, I like the authors' practical familiarity with market practice. These guys didn't learn from a textbook. As just one example, consider their treatment of credit spreads. Many books discuss credit spreads in a general sort of way, but these authors identify three standard conventions for quoting credit spreads: yield spread, z spread and asset-swap spread. They define them, explain how each is calculated and identify strengths and weaknesses of each.</strong></p> <p align="left" class="body"><strong style="font-weight: 400">Finally, I like the way the authors communicate sophisticated material in a manner that is accessible to readers with only marginal quantitative skills. For example, they offer an excellent treatment of structural, intensity and transition-matrix pricing models for single-name credits. To make discussions accessible, binomial models take the place of stochastic calculus. But it is surprising how sophisticated the discussions remain. They include the most accessible explanation of the pricing kernel I have ever seen. Formulas are used sparingly, but they appear at all the right times.</strong></p> </td> <td width="50%" valign="top" class="body" rowspan="2"> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" id="table9"> <tr> <td width="100%" bgcolor="#333366"> <p class="header_yellow" align="center">Contents</td> </tr> <tr> <td width="100%" class="explanatory_text"> <table border="1" cellpadding="0" cellspacing="5" style="border-collapse: collapse" bordercolor="#CCCCFF" bgcolor="#CCCCFF" width="100%" id="table10"> <tr> <td class="contents_expanded"> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">1. Market structure</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">2. Instruments</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">3. Company and debt instrument analysis</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">4. The economics of credit spreads</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">5. Fixed income basics</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">6. Spread measures</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">7. Basics of credit risk models</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">8. Single-name models</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">9. Portfolio models</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">10. Valuation of credit derivatives</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">11. Portfolio risk measurements</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">12. Principles of credit portfolio management</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">13. Portfolio allocation</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">14. Performance measures</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">15. Performance analysis</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">16. Hedging credit risk</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">17. Trading strategies</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">18. Operational issues : accounting</p> <p class="contents" style="margin-top: 4px; margin-bottom: 4px">19. Operational issues : Basel II</td> </tr> </table> </td> </tr> </table> <p align="left" class="body"><strong style="font-weight: 400">What does the book cover? Markets, participants, fixed income conventions, credit analysis, credit spreads, single-name pricing models, multi-name pricing models, trading, portfolio management, performance analysis, accounting and Basel II. Standard fixed income instruments and credit derivatives are the primary focus. CDOs receive little mention. </strong></p> <p align="left" class="body"><strong style="font-weight: 400">The authors are German, so expect German Bunds to be discussed more often than US Treasuries. For US readers, this will be more of an international flavor than a distraction. The chapter on accounting looks at IAS instead of GAAP.</strong></p> <p align="left" class="body"><strong style="font-weight: 400">References are cited sparingly, but the right references are cited. A lot of recent research that readers may not be familiar with is mentioned.</strong></p> <p align="left" class="body"><strong style="font-weight: 400">The book is accessible to beginners, but I think more experienced readers will benefit more. They will understand the relevance of topics and how they relate to one another in ways beginners will not. The book is not advanced, but it goes well beyond the basics. Buy side readers be forewarned: this book gives you more than enough information to be dangerous.</strong></p> <p align="left" class="body"><strong style="font-weight: 400">Because it covers so many topics so well, it will be useful to different audiences in different ways. It is a book on credit markets, a book on credit risk modeling, a book on credit financial engineering and a book on credit portfolio management. Rarely is a book simultaneously so accessible and so sophisticated. I highly recommend it. </strong><b>[December 13, 2006]</b></p> <p align="center" class="body"> </p> </td> </tr> <tr> <td width="50%" valign="top"> <table border="0" cellpadding="5" cellspacing="0" style="border-collapse: collapse" width="100%" bgcolor="#FFFFCC" id="table11"> <tr> <td width="100%" align="left"> <script type="text/javascript"></script> <script type="text/javascript" src="http://pagead2.googlesyndication.com/pagead/show_ads.js"> </script> </td></tr> </table> </td> </tr> </table> <div align="left"> <table border="0" cellpadding="10" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" width="100%" bgcolor="#FFFFCC" id="table12"> <tr> <td width="100%"> <div align="center"> <center> <table border="0" cellpadding="0" cellspacing="0" style="border-collapse: collapse" bordercolor="#111111" bgcolor="#FFFFCC" id="table13"> <tr> <td> <p class="body" style="margin-bottom: 7; margin-left:10"><b><font color="#333366" size="3"> For related books, see sections:</font></b></p> <p class="alternatives_text" style="margin-top:5; margin-bottom:5; margin-left:10"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/portfolio_management_fixed_income.htm">Portfolio Management - Fixed Income</a></p> <p class="bullet" style="margin-top:5; margin-bottom:5; margin-left:10"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/risk_management_credit_institutional.htm">Risk Management - Credit Risk</a></p> <p class="bullet_line_space" style="margin-left: 10"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../topics/financial_engineering_credit_risk.htm">Financial Engineering - Pricing Credit Risk</a></p> <p class="body" style="margin-bottom: 5; margin-top:5; margin-left:10"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/markets_industries_credit_derivatives.htm">Markets - Credit Derivative, CDO</a></p> <p class="body" style="margin-bottom: 5; margin-top:5; margin-left:10"> <img border="0" src="../images/bullet.gif" width="20" height="10"><a target="_top" href="../link_topic/markets_industries_fixed_income.htm">Markets - Fixed Income</a></p> </td> </tr> </table> </center> </div> </td> </tr> </table> </div> </td> <td>  </td> </tr> </table> </div>  <table border="0" style="border-collapse: collapse" width="100%" cellpadding="0" id="table1" bgcolor="#FFFFFF"> <tr> <td colspan="2" height="12"> <p style="margin-top: 0"> </td> </tr> <tr> <td align="right"> <p align="left" style="margin-bottom: 2px"> <noindex><a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Ads by Contingency Analysis.</font></a></noindex></td> <td align="left"> <p align="right" style="margin-bottom: 2px"> <noindex><a target="_top" href="http://www.riskexpertise.com/link/advertising.htm"> <font size="1" color="#000000" face="Arial">Advertise on this site.</font></a></noindex></td> </tr> <tr> <td align="center" colspan="2">  <iframe src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=iframe" allowtransparency="true" background-color="transparent" style="margin: 0px; padding: 0px; border-width: 0px" width="300" height="250" frameborder="0" marginwidth="0" marginheight="0" scrolling="no"> <![if lt IE 4]> <script src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=js" type="text/javascript"> </script> <noscript> <noindex><a href="http://servedbyadbutler.com/go2/;ID=147917;size=300x250;setID=93136"> <img src="http://servedbyadbutler.com/adserve/;ID=147917;size=300x250;setID=93136;type=img" border="0" height="250" width="300" alt=""></a></noindex> </noscript><![endif]> </iframe>   </td> </tr> </table> <p align="center" style="margin-top: 20"> <map name="FPMap0_I1"> <area href="http://www.riskbook.com" shape="rect" coords="0, 0, 184, 29" target="_top"></map> <img border="0" src="../images/open_book_riskbook.gif" usemap="#FPMap0_I1" width="185" height="30"></p> <p class="a" align="center"><font face="Arial" size="2"><a href="../main/disclaimer.htm">disclaimer</a></font></p> <p class="a" align="center"><span class="verdana10">website:</span> <noindex><a target="_top" href="http://www.contingencyanalysis.com"> <font size="2" face="Arial">http://www.contingencyanalysis.com</font></a></noindex><br> <span class="verdana10">books direct link:</span> <noindex><a target="_top" href="http://www.riskbook.com"><font size="2" face="Arial">http://www.riskbook.com</font></a></noindex><br> copyright <font face="Times New Roman">©</font> Contingency Analysis, 1996 - current</p> <p class="a" align="center"><map name="FPMap1_I1"> <area target="_top" href="http://www.contingencyanalysis.com" shape="rect" coords="0, 0, 240, 88"> </map><img border="0" src="../images/logo_book_white.gif" usemap="#FPMap1_I1" width="241" height="89"></p>  </body>