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Introduction: A Roadmap Of The New World Of Structured Credit

Arvind Rajan, Glen McDermott, Ratul Roy

Open publisher page 1 citations

Abstract

This introductory chapter provides a critical mass of information to give the reader a useful introduction to the exciting new technology namely structured credit and its main uses. This chapter presents a roadmap to this technology and briefly describes the contents provided in the book. The book is divided into three parts containing chapters devoted to specific products. The first part describes and analyses credit default swaps, default swaptions, and default swap indexes. The second part covers portfolio credit derivatives, with chapters devoted to single-tranche collateralized debt obligations (CDOs), correlation market technicals, CDO-squareds, and constant proportion portfolio insurance (CPPI) products, or credit CPPIs. The last section is devoted to cash CDOs, and includes chapters on collateralized loan obligations (CLOs), asset-backed CDOs, CDO equity, and commercial real estate CDOs.

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What this paper is about

This introductory chapter provides a critical mass of information to give the reader a useful introduction to the exciting new technology namely structured credit and its main uses. This chapter presents a roadmap to this technology and briefly describes the contents provided in the book. The book is divided into three parts containing chapters devoted to specific products. The first part describes and analyses credit default swaps, default swaptions, and default swap indexes. The second part covers portfolio credit derivatives, with chapters devoted to single-tranche collateralized debt obligations (CDOs), correlation market technicals, CDO-squareds, and constant proportion portfolio insurance (CPPI) products, or credit CPPIs. The last section is devoted to cash CDOs, and includes chapters on collateralized loan obligations (CLOs), asset-backed CDOs, CDO equity, and commercial real estate CDOs.

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Available abstract

This introductory chapter provides a critical mass of information to give the reader a useful introduction to the exciting new technology namely structured credit and its main uses. This chapter presents a roadmap to this technology and briefly describes the contents provided in the book. The book is divided into three parts containing chapters devoted to specific products. The first part describes and analyses credit default swaps, default swaptions, and default swap indexes. The second part covers portfolio credit derivatives, with chapters devoted to single-tranche collateralized debt obligations (CDOs), correlation market technicals, CDO-squareds, and constant proportion portfolio insurance (CPPI) products, or credit CPPIs. The last section is devoted to cash CDOs, and includes chapters on collateralized loan obligations (CLOs), asset-backed CDOs, CDO equity, and commercial real estate CDOs.

Key concepts: Collateralized debt obligation, Credit derivative, Credit default swap, Synthetic CDO, Tranche, iTraxx, Structured finance, Business

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