CDS Delivery Option: Better Pricing of Credit Default Swaps
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- 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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CDS Delivery Option: Better Pricing of Credit Default Swaps (US $79.95)
Total List Price: US $154.95
Discounted Price: US $116.21 (Save: US $38.74)