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A Guide to Active Credit Portfolio Management
Risk Waters, Sep 2008, Pages: 400
Invaluable real-life insights into the developing area of active credit portfolio management (ACPM) from a team of Credit Suisse authors. It equips you with the tools and techniques needed for success in your own credit portfolio management
For liquid credit risks, market-leading banks have already moved away from the classical buy-and-hold paradigm towards Active Credit Portfolio Management (ACPM). Today, this trend also applies to semi-liquid and even illiquid credit portfolios. The ACPM approach enables a more profitable management of credit risks, based on a risk/return-oriented active management of tailor-made hedging and investment measures with a focus on economic risk transfer, diversification, capital efficiency and profitable leverage.
Written by a team of authors working in Credit Suisse's Credit Portfolio Management Unit in Zurich, this book offers you invaluable real-life insights into this developing area of credit portfolio management. It presents you with the latest thinking about ACPM, starting with a discussion of the various organisational frameworks and potential mandates for an ACPM unit, explaining mathematical concepts underlying portfolio management activities, elaborating investment and hedging cases and corresponding business cases and finally ending with fresh thoughts on the so-called ‘cost-to-securitise’ as a valuable component in a pricing framework for illiquid credit risks. This hands-on guide provides you with:
A set of goals and measurable achievements for your ACPM efforts;
A solid self-contained quantitative toolkit needed for your daily business of credit portfolio management, applicable to portfolio analysis as well as in hedging and investment decision-making;
A range of techniques used by major banks in modern credit portfolio management including new and not widely known techniques such as a pricing component based on the so-called 'cost-to-securitise';
Learning points including challenges and 'words of caution' based on real-life experience gained by the team of authors in their daily business;
Tips for dealing with common problems associated with active credit portfolio management;
Special guidance on the treatment of illiquid credit portfolios.
The book is recommended reading for anyone actively managing credit portfolios, especially portfolio managers in banks and other financial institutions such as insurance companies and funds. It will be of interest to anyone involved in credit management including credit traders in investment banks and risk managers. Nevertheless, the chapters are structured in such a way that readers currently lacking a background in portfolio management or credit risk will quickly get to grips with these topics. The book will also serve as a valuable reference for academics interested in current developments in ACPM.
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