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Author : Bond Market Association
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (653 download)
Download or read book Synthetic CDO Primer written by Bond Market Association and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Didier Joannas
Publisher :
ISBN 13 : 9780954544737
Total Pages : 66 pages
Book Rating : 4.5/5 (447 download)
Download or read book A Primer on Synthetic Collateralised Debt Obligations written by Didier Joannas and published by . This book was released on 2003 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Collateralized Debt Obligation (CDO) was a natural development in securitisation, first introduced in 1988. A CDO is a structured finance product in which a distinct legal entity known as a special purpose vehicle issues bonds or notes against an investment in cash flows of an underlying pool of assets. These assets can be bonds, commercial bank loans or a mixture of both bonds and loans. Originally CDOs were developed as repackaging structures for high-yield bonds and illiquid instruments such as certain convertible bonds, but they have developed into sophisticated investment management vehicles in their own right. Through the 1990s CDOs were the fastest growing asset class in the asset-backed securities market, due to a number of features that made them attractive to issuers and investors alike. A subsequent development was the synthetic CDO, a structure that combines credit derivatives and securitization technology in its construction. It has become very popular with banks and fund managers, both from an originator and investor perspective. considering the genesis of the CDO, principally the economic advantages of these products for both issuers and investors. It then looks at the products themselves and concludes with case studies of selected CDO transactions.
Author : Craig Mounfield
Publisher : Cambridge University Press
ISBN 13 : 0521897882
Total Pages : 386 pages
Book Rating : 4.5/5 (218 download)
Download or read book Synthetic CDOs written by Craig Mounfield and published by Cambridge University Press. This book was released on 2009 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Details the latest models and techniques in quantitative and computational modelling of synthetic Collateralised Debt Obligations.
Author : George Chacko
Publisher : Pearson Education
ISBN 13 : 0132715929
Total Pages : 353 pages
Book Rating : 4.1/5 (327 download)
Download or read book Credit Derivatives written by George Chacko and published by Pearson Education. This book was released on 2006-06-02 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: The credit risk market is the fastest growing financial market in the world, attracting everyone from hedge funds to banks and insurance companies. Increasingly, professionals in corporate finance need to understand the workings of the credit risk market in order to successfully manage risk in their own organizations; in addition, some wish to move into the field on a full-time basis. Most books in the field, however, are either too academic for working professionals, or written for those who already possess extensive experience in the area. Credit Derivatives fills the gap, explaining the credit risk market clearly and simply, in language any working financial professional can understand. Harvard Business School faculty member George C. Chacko and his colleagues begin by explaining the underlying principles surrounding credit risk. Next, they systematically present today's leading methods and instruments for managing it. The authors introduce total return swaps, credit spread options, credit linked notes, and other instruments, demonstrating how each of them can be used to isolate risk and sell it to someone willing to accept it.
Author : George Chacko
Publisher : FT Press
ISBN 13 : 0133249190
Total Pages : 377 pages
Book Rating : 4.1/5 (332 download)
Download or read book Credit Derivatives, Revised Edition written by George Chacko and published by FT Press. This book was released on 2015-12-18 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: Every company faces credit risk. Credit derivatives are among the most powerful tools available for managing it. Once restricted to the financial industry, they are now widely used by businesses of all kinds—and all financial professionals need to understand them. Credit Derivatives, Revised Edition, explains these tools simply, clearly, and rigorously: what they do, how they work, and how to use them in today’s applications. The authors first show how credit risk can be measured and valued. They explain key ideas, such as recovery rates and credit spreads, and show how derivatives transfer credit risk to external investors. Next, they systematically demonstrate how credit risk models can describe and predict credit risk events. They cover structural models, including Merton and Black and Cox; empirical models, such as the Z-score model; and reduced-form models, such as Jarrow-Turnbull. The authors also present detailed explanations of two widely used instruments: credit default swaps (CDSs) and collateralized debt obligations (CDOs). Finally, building on what you’ve learned, the authors offer a brand-new primer on today’s applications for financial instruments with embedded credit risk. FINANCIAL STATEMENT ANALYSIS Perform preliminary financial analysis on any potential project UNDERSTAND, MEASURE, AND ASSESS CREDIT RISK Master core concepts, from credit spreads to default probabilities MASTER POWERFUL CREDIT RISK MODELING APPROACHES Learn structural, empirical, and reduced-form credit risk modeling GAIN DEEP INSIGHT INTO TODAY’S INSTRUMENTS AND APPLICATIONS Understand CDSs, CDOs, and how credit-sensitive products are now used FOR EVERY FINANCIAL PRACTITIONER: BUY-SIDE AND SELL-SIDE For CFOs, treasurers, and other practitioners—everywhere from pension funds to commercial corporations
Author : Arvind Rajan
Publisher : John Wiley & Sons
ISBN 13 : 0470100087
Total Pages : 544 pages
Book Rating : 4.4/5 (71 download)
Download or read book The Structured Credit Handbook written by Arvind Rajan and published by John Wiley & Sons. This book was released on 2007-03-31 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Structured Credit Handbook is a comprehensive introduction to all types of credit-linked financial instruments. This book provides state-of-the-art primers on single tranche collateralized debt obligations (CDOs), collateralized loan obligations (CLOs), credit derivatives (such as credit default swaps and swaptions), and iBoxx indexes. Filled with in-depth insight and expert advice, The Structured Credit Handbook covers all aspects of the synthetic arbitrage CDO market, including new instruments such as CDO2. Readers will also gain a firm understanding of the investment rationale, risks, and rewards associated with CDO investments through this valuable resource. The exploding use of credit derivatives and collateralized debt obligations (CDOs) has transformed the world of credit, creating an $18 trillion market almost overnight and resulting in innumerable investment and career opportunities globally. The Structured Credit Handbook provides the reader with a comprehensive and clear roadmap to today's new credit landscape. The full spectrum of structured credit products, from single-name CDS to CDOs, is explained in a simple, clear fashion that is free from the financial jargon and mathematical complexity which characterize many other derivative texts. The handbook begins with an in-depth explanation of the building blocks of the structured credit markets, single-name default swaps and indexes, and it culminates with complex products such as credit options, synthetic tranches, CDOs based on bank loans and asset-backed securities, and CDO-squareds. 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.
Author : Donald R. Chambers
Publisher : CFA Institute Research Foundation
ISBN 13 : 1944960384
Total Pages : 122 pages
Book Rating : 4.9/5 (449 download)
Download or read book Alternative Investments: A Primer for Investment Professionals written by Donald R. Chambers and published by CFA Institute Research Foundation. This book was released on 2018 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alternative Investments: A Primer for Investment Professionals provides an overview of alternative investments for institutional asset allocators and other overseers of portfolios containing both traditional and alternative assets. It is designed for those with substantial experience regarding traditional investments in stocks and bonds but limited familiarity regarding alternative assets, alternative strategies, and alternative portfolio management. The primer categorizes alternative assets into four groups: hedge funds, real assets, private equity, and structured products/derivatives. Real assets include vacant land, farmland, timber, infrastructure, intellectual property, commodities, and private real estate. For each group, the primer provides essential information about the characteristics, challenges, and purposes of these institutional-quality alternative assets in the context of a well-diversified institutional portfolio. Other topics addressed by this primer include tail risk, due diligence of the investment process and operations, measurement and management of risks and returns, setting return expectations, and portfolio construction. The primer concludes with a chapter on the case for investing in alternatives.
Author : Janet M. Tavakoli
Publisher : John Wiley & Sons
ISBN 13 : 047148136X
Total Pages : 354 pages
Book Rating : 4.4/5 (714 download)
Download or read book Collateralized Debt Obligations and Structured Finance written by Janet M. Tavakoli and published by John Wiley & Sons. This book was released on 2004-03-29 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most cutting-edge read on CDO and credit market structures Collateralized Debt Obligations and Structured Finance provides a state-of-the-art look at the exploding CDO and structured credit products market. Financial expert Janet Tavakoli examines securitization topics never before seen in print, including the huge increase in the CDO arbitrage created by synthetics; the tranches most at risk from this new technology; dumping securitizations on bank balance sheets; the abuse of offshore vehicles by companies such as Enron; and securitizations made possible by new securitization techniques and the introduction of the Euro. This valuable guide comprehensively covers one of the fastest growing markets on Wall Street, predicting where new bank regulations and other developments may lead to product growth or product extinction. While providing an overview of the market and its dynamic growth, Collateralized Debt Obligations and Structured Finance explores the types of products offered, hedging techniques, and valuation and risk/return issues associated with investment in CDOs and synthetic CDOs. Janet M. Tavakoli, MBA (Chicago, IL), has over eighteen years of experience trading, structuring, and marketing derivatives and structured products with major financial institutions in New York and London. She is also the author of Credit Derivatives and Synthetic Structures, now in its Second Edition (0-471-41266-X).
Author : Moorad Choudhry
Publisher : John Wiley & Sons
ISBN 13 : 1118177134
Total Pages : 628 pages
Book Rating : 4.1/5 (181 download)
Download or read book Structured Credit Products written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2011-09-20 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: Updated coverage of structured credit products with in-depth coverage of the latest developments Structured credit products are one of today's fastest growing investment and risk management mechanisms, and a focus of innovation and creativity in the capital markets. The building blocks of these products are credit derivatives, which are among the most widely used products in finance. This book offers a succinct and focused description of the main credit derivative instruments, as well as the more complex products such as synthetic collateralized debt obligations. This new edition features updated case studies from Europe and Asia, the latest developments in synthetic structures, the impact of the subprime meltdown, along with models and teaching aids. Moorad Choudhry returns with this excellent update of the credit derivatives market. The second edition of his classic work is, like the subject matter itself, at the forefront of the financial industry. It deserves a wide readership. —Dr Didier Joannas Regional Director, Thomson Reuters, Hong Kong This is the perfect companion for both experienced and entry level professionals working in the structured credit fraternity. It is an erudite, insightful and enjoyable read that successfully demystifies one of the most topical subject areas in banking today, while also providing important practical examples that link the theory to the job itself. —Dr James Berriman Global Pricing Unit, Royal Bank of Scotland Moorad Choudhry has earned a deserved reputation from both academics and practitioners as one of the leading practical yet rigorous authors of finance books. In this Second Edition, his practical knowledge of credit derivatives keeps the audience engaged with straightforward explanations of complicated structures, and an accessible level of mathematical sophistication necessary to understand structured credit products. The author offers complete, rigorous analysis while avoiding overuse of mathematical formulas and carefully balanced practical and theoretical aspects of the subject. I strongly recommend this book for those wishing to gain an intuitive understanding of structured credit products, from practitioners to students of finance! —Mohamoud Barre Dualeh Senior Product Developer, Abu Dhabi Commercial Bank, UAE This is THE book for credit derivative trading. From first steps to advanced trading strategies, this is invaluable. Well written and insightful, perfect for ad hoc reference or reading cover to cover. —Andrew Benson ETF Market Making, KBC Peel Hunt, London Professor Choudhry has inspired me to really get into credit derivatives. It’s great to be lectured by someone with such energy and practical hands-on experience, as well as the ability to get stuck into the details. —George Whicheloe Equity-Linked Technology, Merrill Lynch, London Moorad Choudhry is Head of Treasury at Europe Arab Bank plc in London. He is a Visiting Professor at the Department of Economics at London Metropolitan University.
Author : Andreas A. Jobst
Publisher :
ISBN 13 : 9780974078410
Total Pages : 0 pages
Book Rating : 4.0/5 (784 download)
Download or read book The Collateralised Loan Obligations (CLOs) - a Primer written by Andreas A. Jobst and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following descriptive paper surveys the various types of asset-backed securitisation (ABS) and provides a working definition of so-called collateralised loan obligations (CLOs), which allows issuers to sell large portfolios of commercial loans and their attendant credit risk directly to capital markets. Free of the common rhetoric and slogans, which sometimes substitute for understanding of the complex nature of structured finance, we describe the theoretical foundations of this specialised form of loan securitisation. The paper considers not only the distinctive properties and benefits of CLOs, but also the information economics inherent in the transfer of credit risk, in order to equally privilege the critical aspects of security design affecting the structure of CLO transactions.
Author : George Chacko
Publisher : Pearson Education India
ISBN 13 : 9788131704493
Total Pages : 274 pages
Book Rating : 4.7/5 (44 download)
Download or read book Credit Derivatives: A Primer on Credit Risk, Modelling, and Instruments (HB) written by George Chacko and published by Pearson Education India. This book was released on 2006 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gary B. Gorton
Publisher : Oxford University Press
ISBN 13 : 0199742111
Total Pages : 232 pages
Book Rating : 4.1/5 (997 download)
Download or read book Slapped by the Invisible Hand written by Gary B. Gorton and published by Oxford University Press. This book was released on 2010-03-08 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally written for a conference of the Federal Reserve, Gary Gorton's "The Panic of 2007" garnered enormous attention and is considered by many to be the most convincing take on the recent economic meltdown. Now, in Slapped by the Invisible Hand, Gorton builds upon this seminal work, explaining how the securitized-banking system, the nexus of financial markets and instruments unknown to most people, stands at the heart of the financial crisis. Gorton shows that the Panic of 2007 was not so different from the Panics of 1907 or of 1893, except that, in 2007, most people had never heard of the markets that were involved, didn't know how they worked, or what their purposes were. Terms like subprime mortgage, asset-backed commercial paper conduit, structured investment vehicle, credit derivative, securitization, or repo market were meaningless. In this superb volume, Gorton makes all of this crystal clear. He shows that the securitized banking system is, in fact, a real banking system, allowing institutional investors and firms to make enormous, short-term deposits. But as any banking system, it was vulnerable to a panic. Indeed the events starting in August 2007 can best be understood not as a retail panic involving individuals, but as a wholesale panic involving institutions, where large financial firms "ran" on other financial firms, making the system insolvent. An authority on banking panics, Gorton is the ideal person to explain the financial calamity of 2007. Indeed, as the crisis unfolded, he was working inside an institution that played a central role in the collapse. Thus, this book presents the unparalleled and invaluable perspective of a top scholar who was also a key insider.
Author : Gunter Meissner
Publisher : John Wiley & Sons
ISBN 13 : 1118796896
Total Pages : 268 pages
Book Rating : 4.1/5 (187 download)
Download or read book Correlation Risk Modeling and Management written by Gunter Meissner and published by John Wiley & Sons. This book was released on 2013-12-19 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. Offers comprehensive coverage of a topic of increasing importance in the financial world Includes the Basel III correlation framework Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter
Author : Moorad Choudhry
Publisher : John Wiley & Sons
ISBN 13 : 1118177215
Total Pages : 1444 pages
Book Rating : 4.1/5 (181 download)
Download or read book Bank Asset and Liability Management written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2011-12-27 with total page 1444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Banks are a vital part of the global economy, and the essence of banking is asset-liability management (ALM). This book is a comprehensive treatment of an important financial market discipline. A reference text for all those involved in banking and the debt capital markets, it describes the techniques, products and art of ALM. Subjects covered include bank capital, money market trading, risk management, regulatory capital and yield curve analysis. Highlights of the book include detailed coverage of: Liquidity, gap and funding risk management Hedging using interest-rate derivatives and credit derivatives Impact of Basel II Securitisation and balance sheet management Structured finance products including asset-backed commercial paper, mortgage-backed securities, collateralised debt obligations and structured investment vehicles, and their role in ALM Treasury operations and group transfer pricing. Concepts and techniques are illustrated with case studies and worked examples. Written in accessible style, this book is essential reading for market practitioners, bank regulators, and graduate students in banking and finance. Companion website features online access to software on applications described in the book, including a yield curve model, cubic spline spreadsheet calculator and CDO waterfall model.
Author : Marti Subrahmanyam
Publisher : Now Publishers
ISBN 13 : 9781601989000
Total Pages : 150 pages
Book Rating : 4.9/5 (89 download)
Download or read book Credit Default Swaps written by Marti Subrahmanyam and published by Now Publishers. This book was released on 2014-12-19 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007-2009. The authors review the extant literature on CDS that has accumulated over the past two decades and divide the survey into seven topics after providing a broad overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction to CDS contract definitions and conventions. The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles, structural, and reduced-form credit risk models. It also summarizes the literature on the determinants of CDS spreads, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses how the development of the CDS market has affected the characteristics of the bond and equity markets, with an emphasis on market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge between the pricing of the CDS and its reference bond, and the mispricing between the CDS and the equity market. The fifth section examines the effect of CDS trading on firms' credit and bankruptcy risk, and how it affects corporate financial policy, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS impact the economic incentives of financial intermediaries. The seventh section reviews the growing literature on sovereign CDS and highlights the major differences between the sovereign and corporate CDS markets. The eighth section discusses CDS indices, especially the role of synthetic CDS index products backed by residential mortgage-backed securities during the financial crisis. The authors close with our suggestions for promising future research directions on CDS contracts and markets.
Author : Anthony Saunders
Publisher : John Wiley & Sons
ISBN 13 : 0470622369
Total Pages : 373 pages
Book Rating : 4.4/5 (76 download)
Download or read book Credit Risk Management In and Out of the Financial Crisis written by Anthony Saunders and published by John Wiley & Sons. This book was released on 2010-04-16 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans. Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them Concentrates on the underlying economics to objectively evaluate new models Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.
Author : Raymond H. Chan
Publisher : Springer
ISBN 13 : 9811336962
Total Pages : 395 pages
Book Rating : 4.8/5 (113 download)
Download or read book Financial Mathematics, Derivatives and Structured Products written by Raymond H. Chan and published by Springer. This book was released on 2019-02-27 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. Further, it takes a different route from the existing financial mathematics books, and will appeal to students and practitioners with or without a scientific background. The book can also be used as a textbook for the following courses: • Financial Mathematics (undergraduate level) • Stochastic Modelling in Finance (postgraduate level) • Financial Markets and Derivatives (undergraduate level) • Structured Products and Solutions (undergraduate/postgraduate level)
