Created by members of the Quantitative Portfolio Strategy Group at Barclays Capital Research—a recognized authority in this field—Quantitative Credit Portfolio Management contains new insights that credit market practitioners, from portfolio managers to research analysts, will find useful, practical, and easy to apply.
Written in an intuitive yet quantitatively rigorous style, this timely publication opens with a detailed look at new measures of spread risk, liquidity risk, and Treasury curve risk of credit securities. It presents strong empirical evidence of the benefits these measures offer to portfolio managers compared with current standard industry methods. From there, it moves on to examining applications of these risk measures to portfolio construction and management. The authors also examine the best ways of capturing more of the spread premium in credit portfolios.
All along the way, the authors maintain a sharp focus on the "out-of-sample" predictive power of their research results and their practical implications, with special attention given to the 2007–2009 credit crisis and the subsequent European sovereign crisis.
In this book, the authors:
- Build a case for a Duration Times Spread (DTS) approach to forecasting spread changes and managing risk in credit portfolios based on their finding that spread volatility is linearly related to spread levels
- Introduce a security-level numeric measure of transaction costs—Liquidity Cost Scores (LCS)—which enables investors to quantify the liquidity component of credit spreads and construct portfolios with desired liquidity characteristics
- Demonstrate an approach to optimal diversification of issuer-specific risk in credit portfolios
- Suggest downgrade-tolerant credit portfolios as a way to avoid discarding credit spread premium with the forced liquidation of "fallen angels" as they get dropped from investment grade indices
- Examine "fallen angels" themselves, as a separate asset class, with superior risk and return characteristics
This volume starts with the outbreak of war in September 1939 and ends with the Japanese attack on Pearl Harbor in December 1941. In it, Martin Gilbert reveals not only how each decision was reached, but what influences lay behind it, whether of individuals or of information reaching Churchill from the most secret source of British Intelligence.
Drawing on a remarkable diversity of material, including the War Cabinet and other Government records, as well as Churchill's own archive, the diaries and letters of his private secretariat, and the recollections of those who worked most closely with him, Martin Gilbert reveals the full extent of Churchill's personal contribution to every aspect of the struggle.
On the day Hitler invaded Poland, Churchill, aged sixty-four, had been out of office for ten years. Two days later, on 3 September 1939, he became First Lord of the Admiralty, in charge of British naval policy and at the center of war direction. On 10 May 1940 he became Prime Minister, leading his nation during a time of grave danger and setbacks. His first year and a half as Prime Minister included the Dunkirk evacuation, the fall of France, the Battle of Britain, the Blitz, the Battle of the Atlantic, the struggle in the Western Desert, and Hitler's invasion of Russia.
By the end of 1940, Britain under Churchill's leadership had survived the onslaught and was making plans to continue the war against an enemy of unlimited ambition and ferocious will.
One of Churchill's inner circle said: "We who worked with Churchill every day of the war still saw at most a quarter of his daily tasks and worries." Martin Gilbert has pieced together the whole, setting in context much hitherto scattered and secret evidence, in order to give an intimate and fascinating account of the architect of Britain's "finest hour."
