From the Back Cover
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.
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.
