Product Description

Written by professionals for professionals, "Credit Derivative Strategies" is an in-depth, comprehensive guide to investing with credit derivatives. Emphasizing real-world applications, the contributors cover three broad topics:

Investment strategies currently used by insitutional investors and hedge funds, including ways to find opportunities in relative value, distressed debt, and synthetic collateralized debt obligations (CDOs).

Risk management strategies designed to construct and optimize portfolios containing complex risk derivatives, including up-to-date techniques for evaluating event risk.

Pricing and valuation of credit default swaps, CDOs, and other products, including variations of time-to-default copula models.

The contributing authors of this book are practicing professionals with experience in leadership positions at Merrill Lynch, TriPoint Asset Management, UBS, Salomon Smith Barney, Perry Capital, Nomura Securities International, Dalton Investments, Deutsche Bank, Credit Suisse, Kenmar Global Investment Management, and Citigroup.

This book qualifies for 7.5 PDA credits under the guidelines of of the CFA Institute Professional Development Program.

Product Details

• Amazon Sales Rank: #683318 in Books
• Published on: 2007-07-31
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 240 pages

About the Author
Rohan Douglas, editor of this volume, is the founder and CEO of Quantifi Inc., a leading provider of pricing models and risk analysis tools for structured credit. He has more than twenty-five years of experience in the global financial industry. Prior to founding Quantifi, he was the director of global credit research at Citigroup and Salomon Smith Barney where he worked for ten years. Douglas has worked in interest-rate derivatives, emerging markets, and global fixed income. He is also an adjunct professor in the graduate financial engineering program at Polytechnic University in New York and at the Macquarie University Applied Finance Centre in Australia and Singapore.

Customer Reviews

the best credit strategies book out there
simply read the upper right corner of the cover "I recommend it highly" - Darrell Duffie, you should know this is THE book you can't miss.

I disagree with the comment below. This book is more about credit strategies and how to assess and manage risk beyond traditional "market risk" practice. It only spends last two chapters at the end talking about CDS and CDO pricing. Frankly, no model is perfect, event classic Black-Scholes is flawed. Demanding and implementing a "right" model doesn't make sense at all. Instead, focusing on the strategy itself and fully understanding the fundamental risk you are buying are the way to go. However, in reality, you will be surprised on how many HEADs of risk management on the Street don't really know the risk they are exposed to. One trader said to me: I'd be fire if those guys know exactly what I'm doing.

This book does its job providing meaningful risk management insights.