The Structured Credit Handbook (Wiley Finance) [Hardcover]

“The Structured Credit Handbook is an outstanding achievement. It provides and excellent and well–written tutorial on all aspects of structured credit markets and includes many interesting examples and applications. The book brings a wealth of institutional knowledge together with first–class economic analysis by some of the leading practitioners in the field. Rejan, McDermott, and Roy have written the definitive reference that students, researchers, investors, and market professionals have been waiting for.”—Francis Longstaff, Allstate Professor of Insurance and Finance, UCLA Anderson School of Management

“The Structured Credit Handbook is a unique blend of products and trading strategies. This is an authoritative and colorful treatment designed for investors and sales–and–trading professionals covering structured credit products. All of the key products are covered.”—Darrell Duffie, Dean Witter Distinguished Professor of Finance, Stanford University 

“Finally, a clearly written and comprehensive road map of the world of structured credit! The Structured Credit Handbook incisively analyzes the entire spectrum of structured credit products, from single name CDS to CDOs. Well–suited for students and practitioners alike, this book provides a unique, practical framework for understanding this complex and rapidly changing field. This book is destined to become a fixture in trading rooms, investment departments, and classrooms around the world.”—Ian Lui, Chief Investment Officer and Christopher Ni, Deputy Chief Investment Officer, Shin Kong Life Insurance Co. Ltd.

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.

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.

“The Structured Credit Handbook is an outstanding achievement. It provides and excellent and well–written tutorial on all aspects of structured credit markets and includes many interesting examples and applications. The book brings a wealth of institutional knowledge together with first–class economic analysis by some of the leading practitioners in the field. Rejan, McDermott, and Roy have written the definitive reference that students, researchers, investors, and market professionals have been waiting for.”
—Francis Longstaff, Allstate Professor of Insurance and Finance, UCLA Anderson School of Management

“The Structured Credit Handbook is a unique blend of products and trading strategies. This is an authoritative and colorful treatment designed for investors and sales–and–trading professionals covering structured credit products. All of the key products are covered.”
—Darrell Duffie, Dean Witter Distinguished Professor of Finance, Stanford University 

“Finally, a clearly written and comprehensive road map of the world of structured credit! The Structured Credit Handbook incisively analyzes the entire spectrum of structured credit products, from single name CDS to CDOs. Well–suited for students and practitioners alike, this book provides a unique, practical framework for understanding this complex and rapidly changing field. This book is destined to become a fixture in trading rooms, investment departments, and classrooms around the world.”
—Ian Lui, Chief Investment Officer and Christopher Ni, Deputy Chief Investment Officer, Shin Kong Life Insurance Co. Ltd.

Dr. Arvind Rajan is Managing Director in the Relative Value Group of Citigroup′s Global Fixed Income Division, where he engages in proprietary trading of Credit, Structured Credit, and Emerging Markets. For the past 13 years, Arvind has held a number of senior positions at Citigroup and Salomon Brothers, including Co–head of US Fixed Income Strategy, Global Head of Structured Credit Research and Strategy, and Global Head of EmergingMarkets Quantitative Strategy. Arvind was twice ranked first and once second in the All–America Fixed Income Research poll conducted annually by Institutional Investor magazine. In all, Arvind has two decades of experience in modeling and quantitative analysis, including a stint at Bell Laboratories and as a faculty member in the Mathematical Sciences Department at Rice University. He holds a Ph.D. and M.S. in Operations Research from Northwestern University, and a bachelor’s degree from the Indian Institute of Technology, Chennai, India.

Glen McDermott, J.D., is a Director in the Structured Credit Sales Group at Citigroup Global Markets, Inc., where he sells credit derivatives and collateralized debt obligations to a wide array of institutional fixed income clients. Previously, Glen was a highly ranked research analyst and Global Head of CDO Research and Strategy at Citigroup (2000–2005), where he led a five–person team dedicated to analyzing a multitude of structured credit products, both cash and synthetic. Prior to joining Citigroup, Glen worked for 6 years (1994–2000) at Standard & Poor′s Ratings Services where he analyzed many structured finance asset classes including mortgage–backed securities, credit card ABS and CDOs. Glen′s work has been published in numerous scholarly journals, including The Journal of Portfolio Management, The Journal of Fixed Income, and The Journal of Structured Finance. He is also a contributor to Salomon Smith Barney Guide to Mortgage–Backed and Asset–Backed Securities (John Wiley & Sons, 2001). Glen received his B.A. degree from the College of the Holy Cross and his J.D. from Fordham University School of Law.

Ratul Roy is head of CDO Strategy for Citigroup Global Markets. Before taking on his current role in 2005, Ratul 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 and Poor, and finally, as a cash CDO structurer in Citigroup′s London office (2000–2003).
Ratul has a Ph.D. in chemical engineering from Cambridge University, England.