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Asset-backed Credit Derivatives by Peter B. Nowell

Asset-backed Credit Derivatives

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Asset-backed Credit Derivatives by Peter B. Nowell

In response to the US sub-prime fiasco and the current liquidity crisis, this is a cutting-edge treatment of credit derivatives linked to asset-backed securities such as mortgage-backed securities and collateralised debt obligations (CDOs). Written by an experienced trader, this guide focuses on real-life examples and deals, rather than theory or complex maths. Accessible to investors at all levels including: The asset-backed credit derivatives; credit default swaps on asset-backed securities (ABS); credit-linked notes and total return swaps; index swaps; synthetic securitisation; synthetic CDOs of ABS; issues in pricing and modelling; and, investment vehicles. It contains comprehensive case studies highlighting the key issues to consider in structuring or risk managing such deals. This book is recommended reading for credit investors including traders, investment managers and pension fund trustees.

About the Author

Peter B. Nowell is the Head of ABS Correlation Trading at BNP Paribas, based in London. He was previously Head of ABS Correlation at The Royal Bank of Scotland, having moved over from the Principal Investments team. Peter has worked in credit derivatives for 10 years, including roles in structured credit trading for Nordea in Copenhagen and IXIS Capital Markets in London. Before moving into banking, Peter qualified as a chartered accountant whilst working for Coopers & Lybrand in 1997, and obtained his BA (Hons) degree from Durham University in 1993.

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Book Info

Publication date

31st March 2008


Peter B. Nowell

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Risk Books


236 pages





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