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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.