The Structured Credit Handbook - Hardcover

by Arvind Rajan (Author), Glen McDermott (Author), Ratul Roy (Author)

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.

Front Jacket

The exploding use of credit derivatives and collateralized debt obligations (CDOs) has transformed the world of credit-creating a trillion dollar market almost overnight, as well as innumerable investment and career opportunities. Authors Arvind Rajan Glen McDermott, and Ratul Roy are seasoned financial professionals who have extensive experience in this field, and with The Structured Credit Handbook, they look to share their in-depth insights with you.

This practical guide is organized into three comprehensive sections-reflecting the natural divisions within the credit marketplace. And each section ins comprised of informative chapters devoted to specific products.

• Part One describes and analyzes single name credit derivatives (such as credit default swaps and default swaptions) as well as indexes (such as default swap indexes)
• Part Two covers portfolio credit derivatives, with chapters devoted to single-tranche CDOs, correlation market technicals, CDO-squareds, and credit CPPI
• Part Three is devoted to cash CDOs, and includes chapters on collateralized loan obligations (CLOs), asset-backed CDOs, CDO equity, and commercial real estate CDOs.

Illustrated with examples throughout, and written in a straightforward and accessible style, The Structured Credit Handbook explains the structure, cash flow characteristics, market application, and investment considerations associated with each product. And with a rich set of case studies highlighting each product, you'll discover how to effectively implement each one in today's dynamic marketplace-as an investment, hedging vehicle, risk transfer tool, and much more.

With each section-as well as most chapters-designed to be self-contained, The Structured Credit Handbook is organized in a way that allows you to use it as either a comprehensive introduction to credit-related products or as a reference book that can be consulted as the need arises.

The global credit landscape is being irrevocably changed, and The Structured Credit Handbook has been created to help you navigate this new world. Whether you're a market professional or a savvy individual investor, this definitive guide contains the up-to-date information you need to succeed in such a rapidly growing field.

Back Jacket

The exploding use of credit derivatives and collateralized debt obligations (CDOs) has transformed the world of credit--creating a trillion dollar market almost overnight, as well as innumerable investment and career opportunities. Authors Arvind Rajan, Glen McDermott, and Ratul Roy are seasoned financial professionals who have extensive experience in this field, and with The Structured Credit Handbook, they look to share their in-depth insights with you.

This practical guide is organized into three comprehensive sections--reflecting the natural divisions within the credit marketplace. And each section is comprised of informative chapters devoted to specific products.

• Part One describes and analyzes single name credit derivatives (such as credit default swaps and default swaptions) as well as indexes (such as default swap indexes)
• Part Two covers portfolio credit derivatives, with chapters devoted to single-tranche CDOs, correlation market technicals, CDO-squareds, and credit CPPI
• Part Three is devoted to cash CDOs, and includes chapters on collateralized loan obligations (CLOs), asset-backed CDOs, CDO equity, and commercial real estate CDOs

Illustrated with examples throughout, and written in a straightforward and accessible style, The Structured Credit Handbook explains the structure, cash flow characteristics, market application, and investment considerations associated with each product. And with a rich set of case studies highlighting each product, you'll discover how to effectively implement each one in today's dynamic marketplace--as an investment, hedging vehicle, risk transfer tool, and much more.

Author Biography

ARVIND RAJAN, PHD, is a Managing Director at Citigroup, where he engages in proprietary trading of credit, structured credit, and emerging markets. He was previously co-head of U.S. Fixed Income Strategy (2004-2005) and global head of Structured Credit Research and Strategy (2003-2005). Rajan was twice ranked first and once second in the All-America Fixed Income Research poll by Institutional Investor magazine. He has more than two decades of experience in modeling and quantitative analysis.

GLEN MCDERMOTT, JD, is a Director in the Structured Credit Sales Group at Citigroup Global Markets. Previously, McDermott was a highly ranked research analyst and global head of CDO Research and Strategy at Citigroup for five years (2000-2005). Prior to joining Citigroup, McDermott worked for six years (1994-2000) at Standard & Poor's Ratings Services where he analyzed many structured finance asset classes. McDermott's work has been published in numerous scholarly journals, and he is also a contributor to the Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities, also published by Wiley.

RATUL ROY is Head of CDO Strategy for Citigroup Global Markets. Before taking on his current role in 2005, Roy was head of European CDO Strategy--a position he occupied in 2003 after spending the prior seven years in structuring or analyzing CDOs and other structured credit products. This included positions in UBS Capital Markets (1995-1997), Chase Manhattan Bank (1997-1999), Standard & Poor's (1999-2000), and finally, as a cash CDO structurer in Citigroup's London office (2000-2003). Roy holds a PhD in chemical engineering from Cambridge University, England.