Data Analytics for Corporate Debt Markets

Robert S. Kricheff (Bob) is a senior vice president and portfolio manager at Shenkman Capital Management. Before joining Shenkman Capital, he worked for more than 25 years at Credit Suisse in Leveraged Finance. Prior to leaving Credit Suisse, he was a managing director and head of the Americas High Yield Sector Strategy. He has worked doing credit analysis in several industries, including media, cable, satellite, telecommunications, health care, gaming, and energy, and has worked with corporate bonds, loans, convertibles, preferred stocks, and credit default swaps as well as emerging market corporate bonds. He has also run strategy and has overseen portfolio analytics. Bob is the author of A Pragmatist’s Guide to Leveraged Finance: Credit Analysis for Bonds and Bank Debt and two e-book shorts, The Role of Credit Default Swaps in Leveraged Finance Analysis with Joel S. Kent and How to Analyze and Use Leveraged Finance Bonds for Project Finance , all published by FT Press. He also contributed to the book High-Yield Bonds: Market Structure, Valuation, and Portfolio Strategies by Theodore M. Barnhill Jr., William F. Maxwell, and Mark R. Shenkman, published by McGraw-Hill. Bob graduated from New York University School of Arts & Science with a BA in journalism and economics and received an MSc in financial economics from the University of London School of Oriental and African Studies.

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