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Data Analytics for Corporate Debt Markets: Using Data for Investing, Trading, Capital Markets, and Portfolio Management

By Robert S. Kricheff

Published by Pearson FT Press

Published Date: Jan 29, 2014

Description

Use state-of-the-art data analytics to optimize your evaluation and selection of corporate debt investments. Data Analytics for Corporate Debt Markets introduces the most valuable data analytics tools, methods, and applications for today's corporate debt market. Robert Kricheff shows how data analytics can improve and accelerate the process of proper investment selection, and guides market participants in focusing their credit work. Kricheff demonstrates how to use analytics to position yourself for the future; to assess how your current portfolio or trading desk is currently positioned relative to the marketplace; and to pinpoint which part of your holdings impacted past performance. He outlines how analytics can be used to compare markets, develop investment themes, and select debt issues that fit (or do not fit) those themes. He also demonstrates how investors seek to analyze short term supply and demand, and covers some special parts of the market that utilize analytics. For all corporate debt portfolio managers, traders, analysts, marketers, investment bankers, and others who work with structured financial products.

Table of Contents

Section I: Introduction to Data Analytics for Corporate Debt Markets     1
Chapter 1: The Basics     3
Chapter 2: Corporate Debt Is Different     11
Chapter 3: Managing Projects and Managing People     23
Closing Comments on Section I     29
Section II: Terminology and Basic Tools     31
Chapter 4: Terms     33
Chapter 5: Basic Tools     45
Chapter 6: Data Mining     55
Closing Comments on Section II     61
Section III: The Markets and the Players     63
Chapter 7: The Markets     65
Chapter 8: The Participants     71
Closing Comments on Section III     83
Section IV: Indexes     85
Chapter 9: Index Basics     87
Chapter 10: Index Construction     97
Chapter 11: Other Topics in Corporate Bond Indexes     109
Closing Comments on Section IV     117
Section V: Analytics from Macro Market Data to Credit Selection     119
Chapter 12: Top Down Basics--Looking for Investment Themes Between Markets     121
Chapter 13: The Next Layer--Analyzing a Market     131
Chapter 14: Data Analytics for Credit Selection     139
Closing Comments on Section V     169
Section VI: Analysis of Market Technicals     171
Chapter 15: Market Demand Technicals     173
Chapter 16: Market Supply Technicals     177
Closing Comments on Section VI     189
Section VII: Special Vehicles--Liquid Bond Indexes, Credit Default Swaps, Indexes, and Exchange-Traded Funds     191
Chapter 17: Liquid Bond Indexes     193
Chapter 18: Credit Default Swaps and Indexes     199
Chapter 19: Corporate Debt Exchange-Traded Funds (ETFs)     213
Closing Comments on Section VII     221
Section VIII: Collateralized Loan Obligations (CLOs)     223
Chapter 20: Introduction to CLOs     225
Chapter 21: Structure of Typical CLOs     231
Closing Comments on Section VIII     235
Section IX: Tools for Portfolio Analysis     237
Chapter 22: The Why, What, and How of Portfolio Analysis     239
Chapter 23: Performance Attribution     249
Closing Comments on Section IX     263
Section X: The Future of Data Analytics and Closing Comments     265
Chapter 24: Some Thoughts on the Future of Data Analytics in Corporate Debt Markets     267
Chapter 25: Closing Remarks     275
Index     277

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ISBN-10: 0-13-355368-X

ISBN-13: 978-0-13-355368-0

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