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Credit Derivative Strategies: New Thinking on Managing Risk and Return

Rohan Douglas (Editor)
ISBN: 978-0-470-88504-8
E-book
223 pages
May 2010
US $59.99 Purchase This E-book

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PART I: Investment Strategies.

1 Eight Relative Value Opportunities (Christoph Klein).

2 Distressed Debt Strategies (Steve Persky).

3 Four Synthetic CDO Trading Strategies (Andrea Petrelli, Jun Zhang, Santa Federico, and Vivek Kapoor).

4 Choosing Credit Hedge Funds (Richard Horwitz, Erin Roye, and Jesse Horwitz).

PART II: Risk Management Strategies.

5 Fundamentals of Risk Management (Santa Federico, Andrea Petrelli, Jun Zhang, and Vivek Kapoor).

6 Risk Management for Multistrategy Funds (Christoph Klein).

7 Fat-Tail Distribution of Default Risk (Alla Gill).

PART III: Pricing, Products, and Procedures.

8 Pricing Models (Rohan Douglas and Peter Rivera).

9 CDS Valuation (Santa Federico, Andrea Petrelli, Jun Zhang, and Vivek Kapoor).

10 CDO Valuation (Santa Federico, Andrea Petrelli, Jun Zhang, and Vivek Kapoor).

11 Credit Derivatives Products (Peter Rivera).

Index.

CFA Institute Professional Development Qualified Activity (7.5 hours).