Handbook 2006 – Vol. 2 ：A Guide to the Exotics Credit Derivatives Market



Follows up volume 1 with tranching of CDOs, CDOs of CDOs, etc.
Exotics Credit Derivatives -
Tried and Tested
1.Overview of the exotics credit derivatives market 3
Single Tranche Synthetic CDO
2. A guide to bespoke single-tranches 8
First-to-Default Baskets
3. A guide to usage and valuation 23
Standardized Tranches
4. A guide to the index tranche market 33
Trading Correlation
5. Managing risks in tranche trading 45
Tranche Relative Value Tools
6. Identifying relative value in tranche markets 63
Correlation Strategies
7. Interesting trade ideas in the tranche market 80
Modeling Correlation Products
8. Pricing models for CDOs & FTDs 101
What Correlation?
9. Moving from compound to base correlation and beyond 126
Synthetic CDO^2
10. CDO of CDOs 138
Leveraged Super Senior
11. A guide to synthetic LSS 148
CDO Combination Notes
12. Combining tranches to tailor investor needs 156
CPPI for Debt Investors
13. Principal protection techniques 169
CDS Options
14. Payers and Receivers, trading spread volatility 176
CMCDS
15. Bulish on Credit, Bearish on Spreads 186


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