CDS delivery option : better pricing of credit default swaps

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Title:

Author:

Boberski, David.

ISBN:

9781576602638

Personal Author:

Boberski, David.

Publication Information:

New York : Bloomberg Press, c2009.

Physical Description:

xxiii, 191 p. : ill. ; 24 cm.

Contents:

Interest rate policy, housing prices, and the credit crunch -- The crisis after subprime -- The link between credit derivatives and bonds -- Delivery option : the link between futures and credit derivatives -- The squeeze -- The cheapest-to-deliver option in credit default swaps -- Delphi : a real-world example -- Designing an agency credit derivatives futures contract -- Bringing the index to an exchange -- The ABX meltdown.

Abstract:

"David Boberski is executive director and head of exchange-traded derivative strategy within Prime Services at UBS Investment Bank. Institutional Investor has named Boberski to its All-American Fixed-Income Research Team for his work in federal agency debt and interest-rate derivatives. This is Boberski's second book"--Provided by publisher.

Subject Term:

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Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025557220	332.632 B663.I 2009	1	Searching... Unknown

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Summary

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.