The Credit Default Swap Basis
This book investigates the close relationship between the synthetic and cash markets in credit, which manifests in the credit default swap basis. Choudhry covers:
- factors that drive the basis
- implications for market participants
- the CDS index basis
- trading the basis
Credit market investors and traders as well as anyone with an interest in the global debt markets will find The Credit Default Swap Basis insightful and rewarding.
About the Author.
1 A Primer on Credit Default Swaps.
2 Bond Spreads and Relative Value.
3 The CDS Basis I: The Relationship Between Cash and Synthetic Credit Markets.
4 Supply and Demand and the Credit Default Swap Basis.
5 The CDS Basis II: Further Analysis of the Cash and Synthetic Credit Market Differential.
6 Trading the CDS Basis: Illustrating Positive and Negative Basis Arbitrage Trades.
Appendix I Description of Bloomberg Screen CDSW.
Appendix II The Market Approach to CDS Pricing.
Appendix III Market-Implied Timing of Default from CDS Prices.
CFA Institute Professional Development Qualified Activity (7 hours).
Deutsche Bank Global Markets
"As credit default swaps become ever more important as a bank
risk-management tool, so market participants will need to
understand the credit market cash-synthetic basis. This is an
excellent treatment of the subject that provides valuable detail
for investors and traders alike."
—Mohamoud Barre Dualeh
Abu Dhabi Commercial Bank
"An excellent account and one sure to be of inestimable value to
Synthetic ABCP Operations, KBC Financial Products