Credit derivative strategies : new thinking on managing risk and return

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Title:

Author:

Douglas, Rohan.

ISBN:

9781576601877

Edition:

1st ed.

Publication Information:

New York : Bloomberg Press, c2007.

Physical Description:

x, 223 p. : ill. ; 25 cm.

Contents:

1. Eight relative value opportunities / Christoph Klein -- 2. Distressed debt strategies / Steven D. Persky -- 3. Four synthetic CDO trading strategies / Andrea Petrelli, Jun Zhang, Santa Federico and Vivek Kapoor -- 4. Integrating credit hedge funds into a portfolio of investments / Richard Horwitz and Erin Roye Simpson -- 5. Risk management of credit derivatives / Santa Federico, Andrea Petrelli, Jun Zhang and Vivek Kapoor -- 6. Risk management for multistrategy funds / Christoph Klein -- 7. Integrating event risk in portfolio construction / Alla Gil -- 8. Pricing models / Rohan Douglas and Peter Rivera -- 9. CDS valuation / Santa Federico, Andrea Petrelli, Jun Zhang and Vivek Kapoor -- 10. CDO valuation / Santa Federico, Andrea Petrelli, Jun Zhang and Vivek Kapoor -- 11. Credit derivative products / Peter Rivera.

Abstract:

"Credit Derivatives are financial contracts that transfer credit risk--the risk that a debtor will not repay a loan--between parties. Credit Derivative Strategies describes for professional investors current ways of participating in this rapidly expanding market, including how to select credit hedge funds, analyze event risk, find relative value opportunities, and choose synthetic collateralized debt obligations (CDOs)"--Provided by publisher.

Subject Term:

Credit derivatives.

Risk management.

Added Author:

Douglas, Rohan.

Copies:

Available:*

Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025557378	332.632 D735C 2007	1	Searching... Unknown

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Summary

In the decade since the credit derivatives market started, financial professionals have become increasingly sophisticated. Most books on the subject have not kept pace. Credit Derivative Strategies closes the gap with state-of-the-art techniques for picking credit hedge funds, analyzing event risk, identifying relative value opportunities and managing CDOs.

The credit crisis has many people in the financial industry rethinking how to manage their credit risk and exposure. It is now more important than ever for participants in the financial markets -- whether they are trading or not -- to understand these credit products given their increasing impact.

The contributors to this book are practicing professionals who honed their craft at some of the industry's most successful companies including: Merrill Lynch, Credit Suisse First Boston, Kenmar Global Investment Management, and Citigroup.