Quantitative Credit Portfolio Management: Practical Innovations for Measuring and Controlling Liquidity, Spread, and Issuer Concentration Risk (Frank J. Fabozzi Series)
by Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Quantitative Credit Portfolio Management offers a practical examination of methods for measuring and controlling key credit portfolio risks. It addresses liquidity, spread, and issuer concentration risk, providing a focused resource for readers interested in quantitative finance, credit analysis, and portfolio risk management.
About This Book
Quantitative Credit Portfolio Management presents a practical approach to managing credit portfolios and the risks that can affect their performance.
The book focuses on measuring and controlling liquidity risk, spread risk, and issuer concentration risk.
Its subject matter is relevant to readers seeking a quantitative perspective on credit portfolio oversight and risk management.
Written by Arik Ben Dor, Lev Dynkin, Jay Hyman, and Bruce D. Phelps, the book is part of the Frank J. Fabozzi Series.
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