Reviewer Manoj
Rengarajan holds a Master of Financial Engineering - University of
California, Berkeley and he works in the investment management
industry and specializes in providing economic and investment outlook
and strategy for global equity and government bond markets. He has an
educational background in financial engineering, business, and
engineering, and professional interests include business,
finance, economics, technology and related areas.
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)