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Credit Derivative Strategies: New Thinking on Managing Risk and Return

Rohan Douglas (Editor)
ISBN: 978-0-470-88504-8
223 pages
May 2010
Credit Derivative Strategies: New Thinking on Managing Risk and Return (0470885041) cover image
In the decade since the credit derivatives market started, financial professionals have become increasingly sophisticated. Most books on the subject have not kept pace. Credit Derivative Strategies closes the gap with state-of-the-art techniques for picking credit hedge funds, analyzing event risk, identifying relative value opportunities and managing CDOs.

The credit crisis has many people in the financial industry rethinking how to manage their credit risk and exposure. It is now more important than ever for participants in the financial markets -- whether they are trading or not -- to understand these credit products given their increasing impact.

The contributors to this book are practicing professionals who honed their craft at some of the industry's most successful companies including: Merrill Lynch, Credit Suisse First Boston, Kenmar Global Investment Management, and Citigroup.

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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).

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Rohan Douglas, editor of this volume, is the founder and CEO of Quantifi Inc. He has more than twenty years of experience in the global financial industry. Prior to founding Quantifi, he was the director of global credit derivatives research at Salomon Smith Barney.
During his ten years at Salomon, he also worked in interest rate derivatives, emerging markets, and global fixed income and was responsible for postgraduate recruiting for fixed income research in New York. Douglas is also an adjunct professor at Polytechnic University in New York and teaches in the financial engineering graduate program.
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"Credit Derivative Strategies...the seasoned pro can get right into the practical material in the first chapter." (Hedgeworld Accredited Investor, October 2007)

"Credit Derivatives Strategies meets the challenge of bringing financial analysts and risk managers up to date on valuation, risk assessment, and product design in the fast moving market for credit derivatives. The chapters are well selected for a mix of pragmatic institutional knowledge, conceptual frameworks, and technical foundations. I recommend it highly."
Darrell Duffie
Professor of Finance
Codirector of the Credit Risk Executive Program
Graduate School of Business, Stanford University

"So rapid has been the growth of the credit derivatives market that it has outpaced the publication of educational material on the topic. This well-researched volume goes a significant way towards addressing that imbalance. I have no hesitation in recommending this book to portfolio managers, traders, risk managers and researchers alike."
Matt King
Head of Credit Products Strategy
Citigroup

"The Credit Derivative Strategies guide is a great read for the experienced derivatives professional or those just starting out in the space. Both the core concepts of the derivatives market as well as the more complex CDO trading strategies come across with great lucidity. The guide would be a great complement to anybody's investment library."
Brett M. Gearing
Director, Structured Credit Products and Investments
Babson Capital Management LLC

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