Charles A. Andrews, Michael Haubenstock and James J. Vinci
Active Portfolio Credit Risk Management The credit markets have experienced phenomenal growth and change in the 1980’s and 1990’s, and there is every reason to expect that this trend will continue in the next decade. As a result, the concept of "active portfolio credit risk management" has become important in recent years. The concept is feasible due to the increasing liquidity of the credit markets, the emergence of credit derivatives and new quantitative models that provide the essential analytics. This paper advises on the transformation from a traditional buy- and- hold approach to active portfolio credit risk management thereby improving the use of economic capital.
