Credit derivative strategies: new thinking on managing risk and return
"Credit Derivatives are financial contracts that transfer credit risk--the risk that a debtor will not repay a loan--between parties. Credit Derivative Strategies describes for professional investors current ways of participating in this rapidly expanding market, including how to select credit...
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Bloomberg Press
2007
|
| Ausgabe: | 1. ed. |
| Schlagworte: | |
| Online-Zugang: | Table of contents only Inhaltsverzeichnis |
| Zusammenfassung: | "Credit Derivatives are financial contracts that transfer credit risk--the risk that a debtor will not repay a loan--between parties. Credit Derivative Strategies describes for professional investors current ways of participating in this rapidly expanding market, including how to select credit hedge funds, analyze event risk, find relative value opportunities, and choose synthetic collateralized debt obligations (CDOs)"--Provided by publisher. |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | X, 223 S. Ill. 24 cm |
| ISBN: | 9781576601877 1576601870 |
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Datensatz im Suchindex
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|---|---|
| adam_text | CONTENTS
About the Contributors VH
Introduction 1
PART ONE | INVESTMENT STRATEGIES
1 Eight Relative Value Opportunities 7
Christoph Klein, CFA, Head of Credit Fixed Income and
Partner, TriPoint Asset Management
2 Distressed Debt Strategies 25
Steven D. Persky, CFA, Founder and Managing Partner,
CEO, Dalton Investments
3 Four Synthetic CDO Trading Strategies 33
Andrea Petrelli, Director of European CDO Trading Risk
Management, Credit Suisse
Jun Zhang, PhD, CFA, Head of U.S. CDO Risk Management,
Credit Suisse
Santa Federico, Chief Risk Officer, Perry Capital
Vivek Kapoor, Executive Director, UBS
4 Integrating Credit Hedge Funds into a Portfolio
of Investments 65
Richard Horwitz, Managing Director, Hedge Fund
Development and Management Group, Merrill Lynch
Erin Roye Simpson, Associate, Hedge Fund
Development and Management Group, Merrill Lynch
PART TWO | RISK MANAGEMENT STRATEGIES
5 Risk Management of Credit Derivatives 93
Santa Federico, Chief Risk Officer, Perry Capital
Andrea Petrelli, Director of European CDO Trading Risk
Management, Credit Suisse
Jun Zhang, PhD, CFA, Head of U.S. CDO Risk Management,
Credit Suisse
Vivek Kapoor, Executive Director, UBS
6 Risk Management for Multistrategy Funds 115
Christoph Klein, CFA, Head of Credit Fixed Income and
Partner, TriPoint Asset Management
7 Integrating Event Risk in Portfolio Construction 123
Alla Gil, Former Managing Director, International Capital
Solutions Group, Nomura Securities International
PART THREE | PRICING, PRODUCTS,
AND PROCEDURES
8 Pricing Models 145
Rohan Douglas, Founder and CEO, Quantifi Inc.
Peter Rivera, Professor of Business Technologies,
SUNY-Dutchess
9 CDS Valuation 161
Santa Federico, Chief Risk Officer, Perry Capital
Andrea Petrelli, Director of European CDO Trading Risk
Management, Credit Suisse
Jun Zhang, PhD, CFA, Head of U.S. CDO Risk Management,
Credit Suisse
Vivek Kapoor, Executive Director, UBS
10 CDO Valuation 167
Santa Federico, Chief Risk Officer, Perry Capital
Andrea Petrelli, Director of European CDO Trading Risk
Management, Credit Suisse
Jun Zhang, PhD, CFA, Head of U.S. CDO Risk Management,
Credit Suisse
Vivek Kapoor, Executive Director, UBS
11 Credit Derivative Products 175
Peter Rivera, Professor of Business Technologies,
SUNY-Dutchess
Index 217
X FA CFA Institute Professional Development
Qualified Activity (7.5 hours) 224
|
| adam_txt |
CONTENTS
About the Contributors VH
Introduction 1
PART ONE | INVESTMENT STRATEGIES
1 Eight Relative Value Opportunities 7
Christoph Klein, CFA, Head of Credit Fixed Income and
Partner, TriPoint Asset Management
2 Distressed Debt Strategies 25
Steven D. Persky, CFA, Founder and Managing Partner,
CEO, Dalton Investments
3 Four Synthetic CDO Trading Strategies 33
Andrea Petrelli, Director of European CDO Trading Risk
Management, Credit Suisse
Jun Zhang, PhD, CFA, Head of U.S. CDO Risk Management,
Credit Suisse
Santa Federico, Chief Risk Officer, Perry Capital
Vivek Kapoor, Executive Director, UBS
4 Integrating Credit Hedge Funds into a Portfolio
of Investments 65
Richard Horwitz, Managing Director, Hedge Fund
Development and Management Group, Merrill Lynch
Erin Roye Simpson, Associate, Hedge Fund
Development and Management Group, Merrill Lynch
PART TWO | RISK MANAGEMENT STRATEGIES
5 Risk Management of Credit Derivatives 93
Santa Federico, Chief Risk Officer, Perry Capital
Andrea Petrelli, Director of European CDO Trading Risk
Management, Credit Suisse
Jun Zhang, PhD, CFA, Head of U.S. CDO Risk Management,
Credit Suisse
Vivek Kapoor, Executive Director, UBS
6 Risk Management for Multistrategy Funds 115
Christoph Klein, CFA, Head of Credit Fixed Income and
Partner, TriPoint Asset Management
7 Integrating Event Risk in Portfolio Construction 123
Alla Gil, Former Managing Director, International Capital
Solutions Group, Nomura Securities International
PART THREE | PRICING, PRODUCTS,
AND PROCEDURES
8 Pricing Models 145
Rohan Douglas, Founder and CEO, Quantifi Inc.
Peter Rivera, Professor of Business Technologies,
SUNY-Dutchess
9 CDS Valuation 161
Santa Federico, Chief Risk Officer, Perry Capital
Andrea Petrelli, Director of European CDO Trading Risk
Management, Credit Suisse
Jun Zhang, PhD, CFA, Head of U.S. CDO Risk Management,
Credit Suisse
Vivek Kapoor, Executive Director, UBS
10 CDO Valuation 167
Santa Federico, Chief Risk Officer, Perry Capital
Andrea Petrelli, Director of European CDO Trading Risk
Management, Credit Suisse
Jun Zhang, PhD, CFA, Head of U.S. CDO Risk Management,
Credit Suisse
Vivek Kapoor, Executive Director, UBS
11 Credit Derivative Products 175
Peter Rivera, Professor of Business Technologies,
SUNY-Dutchess
Index 217
X FA CFA Institute Professional Development
Qualified Activity (7.5 hours) 224 |
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| id | DE-604.BV023195364 |
| illustrated | Illustrated |
| index_date | 2024-07-02T20:06:11Z |
| indexdate | 2024-07-09T21:12:47Z |
| institution | BVB |
| isbn | 9781576601877 1576601870 |
| language | English |
| lccn | 2007014284 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016381713 |
| oclc_num | 122701874 |
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| owner | DE-19 DE-BY-UBM DE-945 |
| owner_facet | DE-19 DE-BY-UBM DE-945 |
| physical | X, 223 S. Ill. 24 cm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
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| publisher | Bloomberg Press |
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| spelling | Credit derivative strategies new thinking on managing risk and return Ed. by Rohan Douglas 1. ed. New York, NY Bloomberg Press 2007 X, 223 S. Ill. 24 cm txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index "Credit Derivatives are financial contracts that transfer credit risk--the risk that a debtor will not repay a loan--between parties. Credit Derivative Strategies describes for professional investors current ways of participating in this rapidly expanding market, including how to select credit hedge funds, analyze event risk, find relative value opportunities, and choose synthetic collateralized debt obligations (CDOs)"--Provided by publisher. Credit derivatives Risk management Risikomanagement (DE-588)4121590-4 gnd rswk-swf Anlagepolitik (DE-588)4206018-7 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Anlagepolitik (DE-588)4206018-7 s Risikomanagement (DE-588)4121590-4 s b DE-604 Douglas, Rohan Sonstige oth http://www.loc.gov/catdir/toc/ecip0715/2007014284.html Table of contents only HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016381713&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Credit derivative strategies new thinking on managing risk and return Credit derivatives Risk management Risikomanagement (DE-588)4121590-4 gnd Anlagepolitik (DE-588)4206018-7 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4206018-7 (DE-588)4381572-8 |
| title | Credit derivative strategies new thinking on managing risk and return |
| title_auth | Credit derivative strategies new thinking on managing risk and return |
| title_exact_search | Credit derivative strategies new thinking on managing risk and return |
| title_exact_search_txtP | Credit derivative strategies new thinking on managing risk and return |
| title_full | Credit derivative strategies new thinking on managing risk and return Ed. by Rohan Douglas |
| title_fullStr | Credit derivative strategies new thinking on managing risk and return Ed. by Rohan Douglas |
| title_full_unstemmed | Credit derivative strategies new thinking on managing risk and return Ed. by Rohan Douglas |
| title_short | Credit derivative strategies |
| title_sort | credit derivative strategies new thinking on managing risk and return |
| title_sub | new thinking on managing risk and return |
| topic | Credit derivatives Risk management Risikomanagement (DE-588)4121590-4 gnd Anlagepolitik (DE-588)4206018-7 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Credit derivatives Risk management Risikomanagement Anlagepolitik Derivat Wertpapier |
| url | http://www.loc.gov/catdir/toc/ecip0715/2007014284.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016381713&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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