CDS Delivery Option: Better Pricing of Credit Default Swaps (Google eBook)

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John Wiley & Sons, May 13, 2010 - Business & Economics - 224 pages
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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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Contents

Part II The Delivery Option
41
Part III Contract Design
121
Part IV A Bear Market Case Study
169

Common terms and phrases

About the author (2010)

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. Boberski is also the author of Valuing Fixed Income Futures.

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