Douglas Credit Derivative Strategies

New Thinking on Managing Risk and Return
1. Auflage 2010
ISBN: 978-0-470-88504-8
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 224 Seiten, E-Book

Reihe: Bloomberg Professional

In the decade since the credit derivatives market started,financial professionals have become increasingly sophisticated.Most books on the subject have not kept pace. CreditDerivative Strategies closes the gap with state-of-the-arttechniques for picking credit hedge funds, analyzing event risk,identifying relative value opportunities and managing CDOs.
The credit crisis has many people in the financial industryrethinking how to manage their credit risk and exposure. It is nowmore important than ever for participants in the financial markets-- whether they are trading or not -- to understand these creditproducts given their increasing impact.
The contributors to this book are practicing professionals whohoned their craft at some of the industry's most successfulcompanies including: Merrill Lynch, Credit Suisse First Boston,Kenmar Global Investment Management, and Citigroup.

Autoren/Hrsg.

Douglas, Rohan

Inhaltsverzeichnis

PART I: Investment Strategies.
1 Eight Relative Value Opportunities (Christoph Klein).
2 Distressed Debt Strategies (Steve Persky).
3 Four Synthetic CDO Trading Strategies (Andrea Petrelli, JunZhang, Santa Federico, and Vivek Kapoor).
4 Choosing Credit Hedge Funds (Richard Horwitz, Erin Roye,and Jesse Horwitz).
PART II: Risk Management Strategies.
5 Fundamentals of Risk Management (Santa Federico, AndreaPetrelli, Jun Zhang, and Vivek Kapoor).
6 Risk Management for Multistrategy Funds (ChristophKlein).
7 Fat-Tail Distribution of Default Risk (Alla Gill).
PART III: Pricing, Products, and Procedures.
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 Derivatives Products (Peter Rivera).
Index.
CFA Institute Professional Development Qualified Activity (7.5hours).

Über Autor(innen)

Rohan Douglas, editor of this volume, is the founder and CEOof Quantifi Inc. He has more than twenty years of experience in theglobal financial industry. Prior to founding Quantifi, he was thedirector of global credit derivatives research at Salomon SmithBarney.
During his ten years at Salomon, he also worked in interest ratederivatives, emerging markets, and global fixed income and wasresponsible for postgraduate recruiting for fixed income researchin New York. Douglas is also an adjunct professor at PolytechnicUniversity in New York and teaches in the financial engineeringgraduate program.