Corporate Bond Portfolio Analysis

摘要

Most corporate bond portfolio managers use fundamental credit analysis in the security selection process and some form of the efficient frontier in the construction and ongoing management of their portfolios. This traditional approach, however, does not take into account the whole distribution of potential future credit losses on the portfolio and thus does not capture the risk of extreme events. A remedy is to apply the methodology used in the construction of collateralized debt obligations to analyze and manage the tail risk in corporate bond portfolios.