Рынок ценных бумаг
Финансово-экономические дисциплины
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Choudhry. Fixed Income Securities Derivatives Handbook
Ithink it’s customary when writing a foreword to say I couldn’t put
the book down. While one can’t necessarily say that about Fixed-
Income Securities and Derivatives Handbook, this is certainly not a
book to read once and then leave to gather dust in the attic. The only
fitting place for it is within arms’ reach. Given the volume of accessible
material about the market, it takes something special for a single book to
find a permanent home at the desk and become a first point of reference
for both practitioners and students alike.
This book reflects the emerging role of securitization within the bond
markets. For instance, the Collateralized Debt Obligation (CDO) market
is a constant source of innovation. The low interest rate environment of
the past few years and increasing number of downgrades in the corporate
bond market has made the rating-resilient securitization issuance an attractive
source of investment for investors. Virtually everyone who buys
fixed-income products is looking at CDOs.
There is clear evidence of a growing comfort with structured products
from an increasing number of asset managers and investors. Spread
tightening in the cash bond market has helped draw these parties toward
CDOs, but even existing participants are looking for higher yields than
those offered by traditional structures. We are now seeing CDO2, CDOs
with other CDOs as the underlying thus increasing leverage, and even beginning
to see CDO
3. Further, margins on synthetic CDOs are dependent
on the underlying portfolio spread, and so have been fueling demand for
the associated credit default swaps. The result is significant product development,
of the kind described in this fine book.
The author’s refreshingly straightforward style enables him to uniquely
bridge the gap between mathematical theory and its current application
in the bond markets today. Moreover, given the dynamic, evolutionary
nature of structured credit products, Choudhry’s comprehensive work on
bond market fundamentals is up to date with the most recent structural
and product innovations.
Suleman Baig
Research Partner, YieldCurve.com
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