The Structured Credit Handbook
Review
“Finally, a clearly written and comprehensive road map of the world of structured credit! The Structured Credit Handbook incisively analyzes the entire spectrum of structured credit products, from single name CDS to CDOs. Well-suited for students and practitioners alike, this book provides a unique, practical framework for understanding this complex and rapidly changing field. This book is destined to become a fixture in trading rooms, investment departments, and classrooms around the world.”—Ian Lui, Chief Investment Officer and Christopher Ni, Deputy Chief Investment Officer, Shin Kong Life Insurance Co. Ltd.
Product Description
Written by experienced practitioners who have participated in this market since its infancy, each of the thirteen chapters introduces and analyzes a new product and explains its practical applications. A rich set of real-life case studies illustrate the application of each product in a concrete market setting. The book may be used in a semester-long course on structured credit as part of a business or finance curriculum. Whether you are a market professional, a university student or faculty member, or simply a financially savvy layperson, look no further for an up-to-date and thorough introduction to this rapidly growing and exciting field.
Dr. Arvind Rajan, Managing Director, Citigroup Global Markets, is engaged in proprietary trading of Structured Credit products, and until recently, was global head of Structured Credit Research and Strategy at Citigroup. Glen McDermott (New York, NY) is Director of Fixed Income Sales and the former head of CDO Research at Citigroup Global Markets Inc. Ratul Roy is head of CDO Strategy for Citigroup Global Markets and has spent the prior nine years in structuring or analyzing CDOs and other structured credit products.
Buy The Structured Credit Handbook at Amazon
Buy The Structured Credit Handbook at Amazon
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December 6th, 2009 at 2:55 pm
You may have heard of swaps, swaptions, collateralized debt obligations, and a myriad other credit structures. For most folks, even when they hear the terms, they have no idea what these contracts are and wouldn’t know where to turn to get a reliable and understandable explanation. This book is a good place to start for those interested in these kinds of obligations.
It may well be that your company wants you to look at laying off default risk on some large contracts, or that you want to add or take away some risk from your investment portfolio to insure against loss or to add the possibility of greater return. For these kinds of activities (and many others), this book is a great place to begin learning about what these things are, how they work, and how they are used.
Each of the thirteen chapters takes on a different type of product, explains what it is, its characteristics, some of the variations of the contract, and usually a case study showing the practical application of the product. Each chapter has a different mix of authors who are specialists in that particular product, so the information is solid. They are all written clearly, which is an achievement for what is often considered an arcane subject.
The chapters are: PART ONE – INDEX and SINGLE NAME PRODUCTS: An Introduction offering A Roadmap of the New World of Structured Credit, A Primer on Credit Default Swaps, Credit Default Swaptions, Constant Maturity Credit Default Swaps, Credit Derivatives Indexes, and The Added Dimensions of Credit – A Guide to Relative Value Trading.
PART TWO: PORTFOLIO CREDIT DERIVATIVES: Single Tranche CDOs (CDO= Collateralized Debt Obligation), Trading Credit Tranches – Taking Default Correlation out of the Black Box, and Understanding CDO-Squareds, CPPI – Leveraging and Deleveraging Credit.
PART THREE: COLLATERALIZED DEBT OBLIGATIONS: Collateralized Loan Obligations, ABS CDOs, CDO Equity, and Commercial Real Estate CDOs.
The authors all work for Citigroup, so it is likely that their terminology and view has some bias towards the way their company does things, but it is still a step further than the generalized and brief discussions on the topic I had in my MBA program. This book could be used as a text in such a course or additional reading for the interested student or general reader who has a fascination for this specialized subject.
There are also chapter endnotes, a glossary, and index. Each chapter makes good use of charts, graphs, and tables that aid understanding but do not get in the way.