RT Journal Article SR Electronic T1 Managing Credit Risk in a Corporate Bond Portfolio JF The Journal of Portfolio Management FD Institutional Investor Journals SP 67 OP 72 DO 10.3905/jpm.2002.319844 VO 28 IS 3 A1 Srichander Ramaswamy YR 2002 UL https://pm-research.com/content/28/3/67.abstract AB The author proposes a portfolio selection method to manage market risk and credit risk in a corporate bond portfolio relative to its benchmark. He formulates an optimization problem that minimizes the variance of the loss distribution arising from credit risk with the constraints that the expected return of the portfolio not be below the benchmark and the market risk be identical to the benchmark. Such a problem formulation produces a portfolio that exhibits improved risk–adjusted return characteristics ex ante compared to the benchmark. A practical example illustrates the method.