Authors: Arvind Rajan, Glen McDermott, Ratul Roy
Publisher: Wiley Financial
ISBN: 978-0-471-74749-9

Click Here To Purchase The Structured Credit Handbook (Wiley Finance)

Structured credit is one of the most important innovations in Finance in the recent past. Although these instruments have been blamed for the turbulence in financial markets in recent years, they provide an economic benefit and promote efficiency in markets.

The Structured Credit Handbook aims to provide a comprehensive survey of the instruments that make up the structured credit space. The authors not only explain the financial instruments in good detail but also highlight the key uses of these instruments with a range of cases.

The first part of the book deals with single name credit derivatives and indexes. Starting from how structured credit completes the market, the book describes the enabling technology behind structured credit.

Uses of these instruments including non recourse leverage, diversification, customization of risk profiles, hedging and funding are explained clearly. These uses are highlighted by examples of structured credit solutions.

In explaining Credit Default Swaps, the book delves into the transaction terminology and mechanics, uses of default swaps, finally finishes with an interesting case study on cashing in on curve steepeners.

On CMCDS, the book covers not only the basics and the behaviour of the instrument, but also hedging and taking curve views with the instrument.

Credit derivative indexes details the family and structure of the CDX itraxx indices, their administration, credit events, description of roll process, and using itraxx index to replicate bond portfolios.

In the guide to relative value trading, there is comprehensive coverage of curve trades, drivers, cross currency trades, basis trades, and debt equity trades.

Portfolio Credit Derivatives deals with aspects of single tranche CDOs including advantages, features, description, key issues in modeling and valuation, risk measures and hedging, investment strategies
leverage, market view, correlation, and relative value.

Trading credit tranches stresses the importance and problems with default correlation and trading opportunities. Understanding CDO squared explains the value drivers, uses, structures, how managers can add value.

The chapter on CPPI explains the mechanics and usage of the instrument used for leveraging and de-leveraging credit.

The final part of the book deals with cash CDOs. The book details the CLO leveraged loan market characteristics, loan characteristics/ structure, revolving credit structure, mid market loans, european loans and mezzanine debt.

ABS CDOs describes the basic structure, uses, and characteristics of these securities including relative value, structural protection, and collateral stability. Relative value analysis and considerations for analyzing CDOs of structured finance securities are explained clearly.

Issues regarding collateral manager including manager selection, asset selection, and investment guidelines are covered. The coverage is comprehensive including asset characteristics and collateral mix, and issues with structure such as trigger levels and manager fees.

The section on Commercial Real Estate CDOs deal with the characteristics of market, building blocks including b-notes, 2nd lien loans, mezzanine loans, and whole loans, and managers and sponsors.

The Structured Credit Handbook is not only a comprehensive reference for those interested in understanding recent innovations deeply but also a great guide to using these instruments effectively.

Click Here To Purchase The Structured Credit Handbook (Wiley Finance)