Rajan / McDermott / Roy The Structured Credit Handbook

1. Auflage 2007
ISBN: 978-0-470-10008-0
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 496 Seiten, E-Book

Reihe: Wiley Finance Editions

The Structured Credit Handbook is a comprehensiveintroduction to all types of credit-linked financial instruments.This book provides state-of-the-art primers on single tranchecollateralized debt obligations (CDOs), collateralized loanobligations (CLOs), credit derivatives (such as credit defaultswaps and swaptions), and iBoxx indexes. Filled with in-depthinsight and expert advice, The Structured Credit Handbook coversall aspects of the synthetic arbitrage CDO market, including newinstruments such as CDO2. Readers will also gain a firmunderstanding of the investment rationale, risks, and rewardsassociated with CDO investments through this valuable resource.
The exploding use of credit derivatives and collateralized debtobligations (CDOs) has transformed the world of credit, creating an$18 trillion market almost overnight and resulting in innumerableinvestment and career opportunities globally. The StructuredCredit Handbook provides the reader with a comprehensive andclear roadmap to today's new credit landscape. The full spectrum ofstructured credit products, from single-name CDS to CDOs, isexplained in a simple, clear fashion that is free from thefinancial jargon and mathematical complexity which characterizemany other derivative texts. The handbook begins with an in-depthexplanation of the building blocks of the structured creditmarkets, single-name default swaps and indexes, and it culminateswith complex products such as credit options, synthetic tranches,CDOs based on bank loans and asset-backed securities, andCDO-squareds.
Written by experienced practitioners who have participated inthis market since its infancy, each of the thirteen chaptersintroduces and analyzes a new product and explains its practicalapplications. A rich set of real-life case studies illustrate theapplication of each product in a concrete market setting. The bookmay be used in a semester-long course on structured credit as partof a business or finance curriculum. Whether you are a marketprofessional, a university student or faculty member, or simply afinancially savvy layperson, look no further for an up-to-date andthorough introduction to this rapidly growing and excitingfield.
Dr. Arvind Rajan, Managing Director, Citigroup Global Markets,is engaged in proprietary trading of Structured Credit products,and until recently, was global head of Structured Credit Researchand Strategy at Citigroup. Glen McDermott (New York, NY) isDirector of Fixed Income Sales and the former head of CDO Researchat Citigroup Global Markets Inc. Ratul Roy is head of CDO Strategyfor Citigroup Global Markets and has spent the prior nine years instructuring or analyzing CDOs and other structured creditproducts.

Autoren/Hrsg.

Rajan, Arvind

McDermott, Glen

Roy, Ratul

Über Autor(innen)

Dr. Arvind Rajan is Managing Director in the Relative ValueGroup of Citigroup's Global Fixed Income Division, where he engagesin proprietary trading of Credit, Structured Credit, and EmergingMarkets. For the past 13 years, Arvind has held a number of seniorpositions at Citigroup and Salomon Brothers, including Co-head ofUS Fixed Income Strategy, Global Head of Structured Credit Researchand Strategy, and Global Head of EmergingMarkets QuantitativeStrategy. Arvind was twice ranked first and once second in theAll-America Fixed Income Research poll conducted annually byInstitutional Investor magazine. In all, Arvind has twodecades of experience in modeling and quantitative analysis,including a stint at Bell Laboratories and as a faculty member inthe Mathematical Sciences Department at Rice University. He holds aPh.D. and M.S. in Operations Research from Northwestern University,and a bachelor's degree from the Indian Institute ofTechnology, Chennai, India.
Glen McDermott, J.D., is a Director in the StructuredCredit Sales Group at Citigroup Global Markets, Inc., where hesells credit derivatives and collateralized debt obligations to awide array of institutional fixed income clients. Previously, Glenwas a highly ranked research analyst and Global Head of CDOResearch and Strategy at Citigroup (2000-2005), where he led afive-person team dedicated to analyzing a multitude of structuredcredit products, both cash and synthetic. Prior to joiningCitigroup, Glen worked for 6 years (1994-2000) at Standard &Poor's Ratings Services where he analyzed many structured financeasset classes including mortgage-backed securities, credit card ABSand CDOs. Glen's work has been published in numerous scholarlyjournals, including The Journal of Portfolio Management, TheJournal of Fixed Income, and The Journal of StructuredFinance. He is also a contributor to Salomon Smith Barney Guideto Mortgage-Backed and Asset-Backed Securities (John Wiley &Sons, 2001). Glen received his B.A. degree from the College of theHoly Cross and his J.D. from Fordham University School of Law.
Ratul Roy is head of CDO Strategy for Citigroup GlobalMarkets. Before taking on his current role in 2005, Ratul was headof European CDO Strategy--a position he occupied in 2003 afterspending the prior seven years in structuring or analyzing CDOs andother structured credit products.
This included positions in UBS Capital Markets (1995-1997), ChaseManhattan Bank (1997-1999), Standard and Poor, and finally, as acash CDO structurer in Citigroup's London office (2000-2003).
Ratul has a Ph.D. in chemical engineering from CambridgeUniversity, England.