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Quantitative Analytics in Debt Valuation & Management Hardcover – 25 May 2012
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A breakthrough methodology for profiting in the high-yield and distressed debt market
Global advances in technology give investors and asset managers more information at their fingertips than ever before. With Quantitative Analytics in Debt Valuation and Management, you can join the elite club of quantitative investors who know how to use that information to beat the market and their competitors.
This powerful guide shows you how to sharpen your analytical process by considering valuable information hidden in the prices of related assets. Quantitative Analytics in Debt Valuation and Management reveals a progressive framework incorporating debt valuation based on the interrelationships among the equity, bond, and options markets. Using this cutting-edge method in conjunction with traditional debt and equity analysis, you will reduce portfolio risk, find assets with the highest returns, and generate dramatically greater profits from your transactions.
This book's "fat-free" presentation and easy-to-navigate format jump-starts busy professionals on their way to mastering proven techniques to:
- Determine the "equity risk" inherent in corporate debt to establish the causal relationship between a company's debt, equity, and asset values
- Price and analyze corporate debt in real time by going beyond traditional methods for computing capital requirements and anticipated losses
- Look with an insider's eye at risk management challenges facing banks, hedge funds, and other institutions operating with financial leverage
- Avoid the mistakes of other investors who contribute to the systemic risk in the financial system
Additionally, you will be well prepared for the real world with the book's focus on practical application and clear case studies. Step-by-step, you will see how to improve bond pricing and hedge debt with equity, and how selected investment management strategies perform when the model is used to drive decision making.
- ISBN-100071790616
- ISBN-13978-0071790611
- Edition1st
- PublisherMcGraw Hill
- Publication date25 May 2012
- LanguageEnglish
- Dimensions15.24 x 2.79 x 22.86 cm
- Print length336 pages
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Product description
From the Back Cover
Equity managers consider companies from a growth perspective, and fi xedincome managers look for downside risk. This allows a company's equity security to trade at a premium relative to its debt securities, or vice versa. In between these compartmentalized markets is profit opportunity for in-the-know investors.
Quantitative Analytics in Debt Valuation and Management provides the framework and tools you need to take advantage of decisive market signals hidden in the price structure of debt, equity, and volatility markets.
The industry standard for credit analysis falls short in helping investors reach alpha. This groundbreaking methodology shows you how to create a valuation link between a company's shares and its debt obligations. Adding this layer of analysis to your current investment strategy will enable you to:
- Make better portfolio management decisions by identifying and quantifying mixed market signals
- Focus on consistency of valuation by hedging debt with equity and eliminating absolute valuation bias
- Capture higher arbitrage profits by mastering the difference between market dynamics and model behavior
- Produce higher rates of return by using valuation to drive buy-and-sell decision making over buying and holding for the long term
In order to thrive in the most lucrative arenas in the financial industry, you need up-to-date coverage; this reliable resource uses the latest Basel II concepts for valuation.
Let the numbers speak for themselves with Quantitative Analytics in Debt Valuation and Management.
About the Author
Mark W. Guthner, CFA, is a 25-year veteran of the financial services industry who has experience as an equity derivatives strategist, portfolio manager, and trader of long- and short-term fixed-income securities for corporate and Taft-Hartley pension plans. He is currently an educational consultant to the CFA Institute.
Product details
- Publisher : McGraw Hill; 1st edition (25 May 2012)
- Language : English
- Hardcover : 336 pages
- ISBN-10 : 0071790616
- ISBN-13 : 978-0071790611
- Dimensions : 15.24 x 2.79 x 22.86 cm
- Best Sellers Rank: 710,117 in Books (See Top 100 in Books)
- 232 in Valuation
- 302 in Income Inequality
- 518 in Business Investments Textbooks
- Customer Reviews:
About the author
Mark W. Guthner is a veteran of the financial services industry. His skills and experience stretch across multiple disciplines including trading, portfolio and risk management, securities analysis and valuation, investment banking and financial technology as well.
Mark served as a Principal, Portfolio Manager, Proprietary Trader and Equity Derivative Strategist at Banc of America Securities, CRT Capital Group LLC and Dash Financial LLC. In these roles, Mark advised institutional investors on the use of options to express market views and to hedge or eliminate unwanted risks from institutional portfolios. In his prop trading activites, Mark generated returns on capital in excess of 35% per year.
Mark has significant international "in country" experience. He held senior investment banking and risk management positions at Standard Chartered Bank, and the Australian New Zealand Investment Banking Group. In these roles, he managed $3.5 billion project finance loan portfolio, and developed the groups competitive and asset writing strategies. Furthermore, he served as a Senior Consultant with KPMG/Barents LLC where he developed the investment operations and trained the staff of Indonesia's oldest and largest insurance company.
He began his career at Prudential Fixed Income Advisors and Hong Kong Shanghai Banking Corporation where he was a Senior Portfolio Manager and Bond Trader. In these roles, he managed and traded over $5 billion for pension, Taft-Hartley and financial institutions.
In addition to his daily customer interactions, Mark shares his insights through public speaking engagements and social media venues like Twitter (@MGuthner) and StockTwits (mguthner). He has spoken at conferences covering a multitude of topics. These audiences varying from legal trade groups about financial matters that effect investments, loan structuring, and recoveries in bankruptcy, to global banking regulators concerning systemic risk and Basel II, to retail venues such as the Money Show and local CFA Societies where he shares insights on the use of listed options and managing wealth for the long-term.
Mark holds a BSE in Mechanical Engineering and an MBA in Finance from the University of Michigan, Stephen M. Ross School of Business. Finally he volunteers his time and expertise in various capacities to the CFA Institute.
Mark is the author of "Quantitative Analytics in Debt Valuation & Management," published by McGraw-Hill in 2012. The book presents a break though method for the analysis, pricing, and hedging of corporate debt obligations. Further, it enables the arbitrageur to replicate corporate bonds using a combination of equity, equity options and US Treasury Securities. In addition, it enables portfolio & risk managers to aggregate corporate bonds and equities into one common risk measure. It is a must for taking risk management to the next level.
Mark is also the author of "The Options Edge," which he co-wrote with Michael Khouw, a professional trader, strategist and the longest sitting panel member on CNBC's Options Action. This book reveals how everyone encounters options in their everyday life. By building on that intuition, Michael & Mark show how anyone can improve their investment results by understanding and trading listed options and identifying hidden options found within traditional investments. This is a must read for the novice and professional investor.