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Product Description
Written by professionals for professionals, "Credit Derivative Strategies" is an in-depth, comprehensive guide to investing with credit derivatives. Emphasizing real-world applications, the contributors cover three broad topics:
Investment strategies currently used by insitutional investors and hedge funds, including ways to find opportunities in relative value, distressed debt, and synthetic collateralized debt obligations (CDOs).
Risk management strategies designed to construct and optimize portfolios containing complex risk derivatives, including up-to-date techniques for evaluating event risk.
Pricing and valuation of credit default swaps, CDOs, and other products, including variations of time-to-default copula models.
The contributing authors of this book are practicing professionals with experience in leadership positions at Merrill Lynch, TriPoint Asset Management, UBS, Salomon Smith Barney, Perry Capital, Nomura Securities International, Dalton Investments, Deutsche Bank, Credit Suisse, Kenmar Global Investment Management, and Citigroup.
This book qualifies for 7.5 PDA credits under the guidelines of of the CFA Institute Professional Development Program.
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Average Customer Review:
5 of 5 people found the following review helpful:
 the best credit strategies book out there, 2007-11-13
simply read the upper right corner of the cover "I recommend it highly" - Darrell Duffie, you should know this is THE book you can't miss.
I disagree with the comment below. This book is more about credit strategies and how to assess and manage risk beyond traditional "market risk" practice. It only spends last two chapters at the end talking about CDS and CDO pricing. Frankly, no model is perfect, event classic Black-Scholes is flawed. Demanding and implementing a "right" model doesn't make sense at all. Instead, focusing on the strategy itself and fully understanding the fundamental risk you are buying are the way to go. However, in reality, you will be surprised on how many HEADs of risk management on the Street don't really know the risk they are exposed to. One trader said to me: I'd be fire if those guys know exactly what I'm doing.
This book does its job providing meaningful risk management insights.
1 of 6 people found the following review helpful:
 contributed to recent market volatility, 2007-08-28
In light of the events in the US marketplace during the last few months, this book takes on a new aspect entirely different from the editor's intent. The book describe various means by which new, exotic financial instruments can be made. These synthetics typically involve two parties that exchange credit risks in two underlying collections of assets. With this in mind, some chapters naturally go on to explain how to manage such risks. By trying to model the behaviour of the instrument you might get from the counterparty.
Certainly, the sophistication of some of the instruments is impressive. Slicing a base collection of revenue streams into various tranches of differing expected yields and riskiness.
The problem in reality has just emerged. Where the instruments were so new that the estimation of the risks of different tranches was based on flawed modelling. Leading to much re-evaluations and tumbling prices. While the methods of the book will undoubtedly survive, it will be with diminished frequency.
Price is accurate as of the date/time indicated. Prices and product availability are subject to change. Any price displayed on the Amazon website at the time of purchase will govern the sale of this product.
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