Dr. Jochen Felsenheimer works in the Global Research department at Unicredit. He heads the Credit Strategy & Structured Credit Team. He holds a PhD degree in Economics from Ludwig-Maximilians-Universität München.
Dr. Philip Gisdakis works as a Senior Quantitative Credit Strategist at Unicredit. He studied Mathematical Finance at the University of Oxford and holds a PhD degree in Theoretical Chemistry from Technische Universität München.
1. Prologue: Chronology of a Crisis.
1.1. The subprime turmoil included all ingredients of a severe financial markets crisis.
1.2. An exemplary credit crisis.
1.3. The chronology of a crisis - The US subprime crisis.
2. Credit Instruments.
2.3. Credit Default Swaps.
2.4. CDS Indices.
3. Credit Players.
3.2. Fannie Mae and Freddy Mac.
3.3. Money Market Funds.
3.4. Central Banks.
3.5. Hedge Funds.
3.6. Bond Insurer.
3.7. Private Equity Sponsors.
4. Credit Strategies.
4.2. Leveraged Super Senior Tranches.
4.3. Constant Proportion Debt Obligations.
4.4. Structured Investment Vehicles.
4.5. Collateralized Debt Obligations.
4.6. Structured-Squared Madness.
5. The Anatomy of a Credit Crisis.
5.2. Crisis Classification.
5.3. A brief history of credit crises.
5.4. What can we learn from existing crises models?
5.5. The credit cycle.
6. Epilogue: How Can we Avoid Credit Crises in the Future?