CDS Delivery Option: Better Pricing of Credit Default Swaps
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:
This book is an indispensable resource for all market professionals working in the CDS market.
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5-year note ABX index Agency credit derivative basis points basket Bear Stearns billion binomial tree borrowers buyers of protection callable cash note CBOT central bank cheapest issue cheapest note cheapest-to-deliver corporate bonds coupon create credit default swaps credit derivatives market credit event debentures deliver delivery option Delphi deriva dollars Eurex Eurodollar example expiration Fannie Mae Figure fixed forward contract Freddie Mac futures contract futures market futures traders happen hedge funds home prices hybrid ARM illustrates instrument interest rate swap investors ISDA issuer lenders Libor liquidity loans loss Mac and Fannie Mae and Freddie mar market prices match maturity maximum running spread move notional value on-the-run over-the-counter market payment per percent performance physical delivery problem purchase recovery rate repo retained portfolios securities seller settlement structure subprime meltdown subprime mortgage swap contract swap futures tion trading Treasury futures Treasury note underlying note volatility yield curve