A Guide to Active Credit Portfolio Management

Spotlight on Illiquid Credit Risks

Written by a team of authors (Fredrik Åkesson, Stefan Benvegnù, Christian Bluhm, Jens Erler, Bernd Hofmann, Carsten Knecht, Christoph Müller, Kai Rudolph, Anna Schneebeli) 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 regarding 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.