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 institutional 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 credit 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.

These investment, risk management, and pricing strategies will keep experienced derivatives traders ahead of the curve. A special section describing the mechanics of twenty-two credit products will orient those new to the rapidly expanding market of credit derivatives.

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 PD credits under the guidelines of the CFA Institute Professional Development Program.

Product Details

• Amazon Sales Rank: #338333 in Books
• Published on: 2005-04-13
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 384 pages

Review
An accessible and well-written book that will appeal to both practitioners and academics with an interest in this subject. -- Richard Pereira, Structurer, Asset Finance Group, Nomura International plc

Skillfully combines intuitive rationale with mathematical thoroughness to provide a clear exposition of cutting edge techniques used in the marketplace. -- Dr. Haris Kessaris, Equity Derivatives, KBC Financial Products, London

From the Publisher
Today's financial practitioners need to be fully conversant with the differences in the way that bonds are structured, valued, and traded. Fixed Income Securities and Derivatives Handbook is a comprehensive guide to the array of techniques and applications used in analysis and valuation of principal debt market instruments. With a wide range of methodologies covered, the reader will gain a solid understanding of fixed-income securities and their associated derivatives. The book investigates the fundamentals of fixed-income analysis by reviewing its underpinnings alongside the latest research and presenting it in an accessible way, whether the practitioner is new to the field or seasoned and needing a refresher on new developments. The research is summarized in a way that enables readers to apply results to their individual requirements. A mix of academic theory and market practice, Fixed Income Securities and Derivatives Handbook presents an enlightening framework so readers can obtain a firm grounding in fixed-income analytics.

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 derivatives research at Citigroup and Salomon Smith Barney where he worked for ten years. He is also an adjunct professor in the financial engineering program at Polytechnic University in New York and at the Macquarie University Applied Finance Centre in Australia and Singapore.

Customer Reviews

Really good for newbie
By saying newbie, I mean at least you should know some basic terminology like duration, convexity, interest rake risk, etc. It's really for those who have some basic knowledge on fixed income securiteis and want to explore more in depth. I personally read some chapters from Fabozzi's handbook, and feel like it's not very technical oriented and I prefer this one.

Haven't finished reading yet, but so far, very comprehensive, concise and lucid.

introduces the key ideas like Black-Sholes option modelling
Starting from scratch, assuming just a basic knowledge of calculus and the summation of series, Choudhry explains important ideas about how securities and derivatives are priced. Crucial concepts like how to model interest rates, and the various models that do exist for this purpose, are also gone into. This is built upon with the use of interest rate swaps, of varying complexity.

For options, there is the seminal Black-Scholes model. It is shown to be easy to understand, resting on the assumption of a Weiner process for the asset pricing. More elaborate option modelling is possible, and several of these are discussed.