The Structured Credit Handbook (Wiley Finance) by Rajan, Arvind -- Read -- Imperial Library of Trantor

Index

Title Page About the Contributors Introduction: A Roadmap of the New World of Structured Credit PART One - Index and Single-Name Products CHAPTER 1 - A Primer on Credit Default Swaps

CHAPTER 2 - Credit Default Swaptions

PAYER OPTIONS RECEIVER OPTIONS CREDIT SWAPTION PAYOFFS IN DEFAULT CONCLUSION CASE STUDY: ARE TIGHT SPREADS GIVING YOU BUTTERFLIES?

CHAPTER 3 - Constant Maturity Credit Default Swaps

BASICS OF CMCDSs PARTICIPATION RATE BEHAVIOR OF CMCDSs CAPPED CMCDS HEDGING CMCDSs TRADING STRATEGIES WITH CMCDSs CONCLUSION CASE STUDY: TAKING CURVE VIEWS WITH CMCDSS APPENDIX: COMPUTING THE PARTICIPATION RATE

CHAPTER 4 - Credit Derivatives Indexes

INTRODUCTION FAMILY OF CREDIT DERIVATIVES INDEXES STRUCTURE OF THE CDX/ITRAXX INDEX FAMILY ADMINISTRATION OF INDEXES BASKET OF CREDIT DEFAULT SWAPS UP-FRONT AND RUNNING PAYMENTS WHAT HAPPENS IN CASE OF A CREDIT EVENT ? SETTLEMENT PROCESS AFTER CREDIT EVENT RECENT DEFAULTS IN CDX INDEXES INDEX VERSUS INTRINSICS INVESTMENT STRATEGIES WITH CREDIT DERIVATIVES INDEXES CONCLUSION CASE STUDY: DJ CDX HY AND DJ CDX EM—CONVERSION OF PRICE LEVEL INTO A SPREAD LEVEL CASE STUDY: USING ITRAXX TO REPLICATE BOND PORTFOLIOS APPENDIX: DESCRIPTION OF THE ROLL PROCESS

CHAPTER 5 - The Added Dimensions of Credit — A Guide to Relative Value Trading

OVERVIEW OF CURVE TRADES PUTTING ON A CURVE TRADE CROSS-CURRENCY TRADES BASIS TRADES DEBT-EQUITY TRADES ITRAXX CREDIT INDEXES CREDIT OPTIONS

PART Two - Portfolio Credit Derivatives CHAPTER 6 - Single-Tranche CDOs

OVERVIEW OF SINGLE-TRANCHE CDOS CASE STUDY: DISPERSION TRADES AND TRANCHES CASE STUDY: ATTRACTIONS OF HEDGED MEZZANINES

CHAPTER 7 - Trading Credit Tranches: Taking Default Correlation out of the ...

THE CREDIT TRANCHE MARKET SKEW IN DEFAULT CORRELATION TRADING OPPORTUNITIES FOR INVESTORS CONCLUSION AND FUTURE AGENDA CASE STUDY: CURVE TRADES IN TRANCHE MARKETS

CHAPTER 8 - Understanding CDO-Squareds

CDOs VERSUS CDO VALUE OF CDOs DERIVES BROADLY FROM INNER CDOs CDO VERSUS INNER CDO LIKE MEZZANINE, BUT WITH TAILS CDO VERSUS MASTER CDO ECONOMIC VALUE VERSUS RATING QUALITY USES OF CDO: LONG, SHORT, AND CORRELATION! STRUCTURES: GOOD, BAD, AND UGLY HOW MANAGERS CAN ADD VALUE CONCLUSION CASE STUDY: TERM SHEET

CHAPTER 9 - CPPI: Leveraging and Deleveraging Credit

PRODUCT MECHANICS MANAGED CPPIS CASE STUDY: PERFORMANCE COMPARISON OF STRATEGIES APPENDIX: OUR METHODOLOGY

PART Three - Collateralized Debt Obligations CHAPTER 10 - Collateralized Loan Obligations

LEVERAGED LOAN MARKET OVERVIEW PRO RATA LOANS MIDDLE-MARKET LOANS EUROPEAN LEVERAGED LOANS EUROPEAN MEZZANINE BANK LOANS COLLATERALIZED LOAN OBLIGATIONS CONCLUSION MIDDLE-MARKET CLO HANDBOOK CONCLUSION APPENDIX A: MIDDLE-MARKET LOAN CHARACTERISTICS APPENDIX B: THE BASIC CLO STRUCTURE CASE STUDY: CDO COMBINATION SECURITIES—TAILORING RISK/RETURN PROFILES

CHAPTER 11 - ABS CDOs

CHAPTER 12 - CDO Equity

CASH FLOW CDO INCOME NOTES RETURN ANALYSIS COLLATERAL MANAGER ASSET CHARACTERISTICS STRUCTURE CONCLUSION CASE STUDY: DIVERSIFYING CREDIT RISK USING A CDO EQUITY FUND

CHAPTER 13 - Commercial Real Estate CDOs

CRE CDOs BY THE NUMBERS BUILDING BLOCKS OF A CRE CDO CRE CDO MANAGERS AND SPONSORS CRE CDO INVESTORS: A DIVERSE GROUP KEY EVENTS IN THE CRE CDO MARKET INVESTOR ANALYSIS OF CRE CDOs ADDITIONAL SUGGESTED COLLATERAL ANALYSIS GLOSSARY TERM SHEET

Notes Index