Hybrid Products

Hybrid Products

By: Alexander Batchvarov (editor)Hardback

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About Author

Alexander Batchvarov Managing Director of International Structured Product Research after joining Merrill Lynch in March 1998 as the Head of International Structured Credit Research. He and his team provide research coverage of the Structured Credit market developments in Europe, Latin America and Asia. The team regularly publishes The International Structured Credit Weekly to provide in-depth analysis of market developments, as well as research reports dedicated to specific transactions or sectors of the market, such as MBS in different countries, long-dated bonds, securities finance companies, etc. Mr. Batchvarov's team has consistently been ranked No. 1 securitisation research provider in investors surveys by ISR, SFI, EuroMoney, Credit Magazine and Institutional Investor. Prior to joining Merrill Lynch, Alexander Batchvarov worked for several years as a Structured Finance Analyst in the ABS Group and a Sovereign Analyst in the Sovereign Risk Unit of Moody's Investors Service in London and New York. Prior to Moody's, Alexander was a Manager in the emerging markets Financial Institutions group in Citibank in New York. Mr. Batchvarov holds a Ph.D. in International Economics from the National Academy of Sciences in Bulgaria and an MBA in Finance from University of Alberta in Canada. He is a CFA Charterholder and a member of AIMR and NYSSA.

Contents

Foreword Why the Innovators Need Innovation Simon Greaves (Application Networks). Intro by Consultant Editor: Alexander Batchvarov. Section One: The Traditional Hybrids. I: Equity Linked Notes William Bamber (Bear Stearns). II: Innovations to Give Issuers Flexibility in Equity-Linked Funding Robert James Grantham (Bloomberg). III: Trust Preferred Securities Enhance Investor, Issuer Opportunities James J. McEntee III (Cohen Brothers). Section Two: The Math Behind Structuring and Pricing Hybrid Products. IV: The Impact of Market Level, Volatility and Correlation on Structured Products Kristien Meykens, Lode Roose and Jurgen Vandenbroucke (KBC). V: Pricing Hybrid Structures Grazia De Silvestro, Massimo Giranzani, Rolando Santambrogio, Giancarlo Frugoli, Ferdinando Samaria (UBM). Section Three: Volatility Products. VI: Volatility Products: Motivation and Mechanics Ben Bowler (Merrill Lynch). VII: CBOE VIX Futures Catherine Shalen and John Hiatt (CBOE). Section Four: The Less Known Hybrid Products. VIII: Risk Analysis of CDS/ EDS Correlation Products Kai Gilkes, Norbert Jobst (Standard and Poors). IX: CDO Equity Doug Lucas, Laurie S. Goodman and Frank J. Fabozzi (UBS and Yale University). X: Application of Traditional Structuring Techniques to the Creation of New Hybrid Products Altynay Davletova, Alexander Batchvarov, William Davies (Merrill Lynch). XI: A Primer on Structured Hedge Fund Products Mehraj Mattoo (DRKW). Section Five: The Hybrids' Challenge to Risk Management. XII: Risk Management and IT Issues Benedict Roth (WestLB AG)

Product Details

  • publication date: 15/12/2004
  • ISBN13: 9781904339373
  • Format: Hardback
  • Number Of Pages: 350
  • ID: 9781904339373
  • ISBN10: 1904339379

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