CDS Delivery Option: Better Pricing of Credit Default Swaps
English | | | | epub | 177.01 KB

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 contract

how to value the delivery option

how contract value changes when the yield curve flattens or becomes steeper

how contract value changes with bullish or bearish market moves

how to figure out when to buy protection and when to sell protection

how to hedge CDS risk

when and how to unwind a contract prior to settlement

when to hold a trade through delivery

how 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 down

how to construct a basis trade

how to find arbitrage opportunities

how to analyze default probability and corporate debt

when to settle via auction and when to settle via physical delivery

which 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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