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:

• 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.