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CDS DELIVERY OPTION

CDS DELIVERY OPTION

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About the Book

Credit-default swaps (CDSs) are rapidly replacing bonds as the investment of choice for institutional investors. This work explains this investment option and why the CDS market has exploded from nothing to $28.8 trillion over the past seven years.

For traders trying to navigate the increasingly volatile credit default swap market, "CDS Delivery Option" provides worked-out examples, over 30 charts, a case study of Delphi, and detailed explanations of how the subprime crisis caused the credit crisis and the near collapse of the GSEs. The book includes detailed information on: how to value a CDS contracthow to value the delivery optionhow contract value changes when the yield curve flattens or becomes steeperhow contract value changes with bullish or bearish market moveshow to figure out when to buy protection and when to sell protectionhow to hedge CDS riskwhen and how to unwind a contract prior to settlementwhen to hold a trade through deliveryhow to navigate a "squeeze" (when the notional value of contracts going through delivery is larger than the supply of the cheapest-to-deliver issue)when buying contracts can make their prices go downhow to construct a basis tradehow to find arbitrage opportunitieshow to analyze default probability and corporate debtwhen to settle via auction and when to settle via physical deliverywhich note is the cheapest to deliver

This book is an indispensable resource for all market professionals working in the CDS market.


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Product Details
  • ISBN-13: 9781576602638
  • Publisher: Bloomberg Press
  • Binding: Hardcover
  • Language: English
  • Returnable: Y
  • Spine Width: 22.5 mm
  • Width: 159.5 mm
  • ISBN-10: 157660263X
  • Publisher Date: 07 Jan 2009
  • Height: 231 mm
  • No of Pages: 191
  • Series Title: English
  • Weight: 472.16 gr


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