£145.00

Credit Modelling: Advanced Topics

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Description

The book reveals to traders how to consistently outperform credit benchmarks, how to hedge the credit risk premium, and how to overcome pension liability deficits. In addition, several successful trading strategies are presented including debt versus equities, Co-Co bond trading and a quantitative analysis of the municipal bond market. Chapters include: Credit Models, Past Present and Future Predicting Annual Default Rates and Implications for Market Prices Risk and Relative Value in the Municipal Bond Market Contingent Collateral Bonds Model for Sovereign Default and Relative Value Beating Credit Benchmarks Analyzing and Hedging Systemic Liquidity Risk Building on the best-selling first edition, author Terry Benzschawel advances the topics covered in Credit Risk Modelling by outlining the reality of defaults and recoveries, then detailing credit models and credit instruments before presenting some real-world applications. You'll learn how to measure, hedge and predict the credit-risk premium reliable techniques for making money in credit markets and be able to help your firm better man

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
31 January 2017
Listed Since
08 February 2017

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