Boberski CDS Delivery Option

Better Pricing of Credit Default Swaps
1. Auflage 2010
ISBN: 978-0-470-88325-9
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 224 Seiten, E-Book

Reihe: Bloomberg Professional

For traders trying to navigate the increasingly volatile creditdefault swap market, CDS Delivery Option provides worked-outexamples, over 30 charts, a case study of Delphi, and detailedexplanations of how the subprime crisis caused the credit crisisand the near collapse of the GSEs. The book includes detailedinformation on:
* how to value a CDS contract
* how to value the delivery option
* how contract value changes when the yield curve flattens orbecomes steeper
* how contract value changes with bullish or bearish marketmoves
* how to figure out when to buy protection and when to sellprotection
* 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 ofcontracts going through delivery is larger than the supply of thecheapest-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 physicaldelivery
* which note is the cheapest to deliver
This book is an indispensable resource for all marketprofessionals working in the CDS market.

Autoren/Hrsg.

Boberski, David

Inhaltsverzeichnis

List of Illustrations.
Introduction.
Part I Markets and Mechanisms.
Chapter 1 Interest Rate Policy, Housing Prices, and theCredit Crunch.
An Unspoken Assumption.
The Music Stops in Home Prices.
The Music Stops in Lending.
The Music Stops on Wall Street.
Fed in a Box.
Chapter 2 The Crisis After Subprime.
Agencies Born of Crisis.
Contradictory Objectives?
The Golden Goose.
Losing Focus.
Chapter 3 The Link Between Credit Derivatives andBonds.
Caulis Negris.
The Music Stops for the Agencies.
The End Game for the Government-Sponsored Enterprises.
Part II The Delivery Option.
Chapter 4 Delivery Option: The Link Between Futures andCredit Derivatives.
Assumptions Behind the Credit Default Swap Basis.
Default Probability, Corporate Debt, and the DeliveryOption.
A Review of Treasury Futures Mechanics.
Pricing Treasury Futures Delivery Options.
The Fair-Value Method for Pricing an Embedded Option.
Chapter 5 The Squeeze.
Making Mischief.
Distorted Economics.
Chapter 6 The Cheapest-to-Deliver Option in Credit DefaultSwaps.
Quantifying the Value of the Delivery Option.
A Proof by Contradiction.
Applying the Fair-Value Analysis.
More Lessons from the Futures Market.
Chapter 7 Delphi: A Real-World Example.
Recent Developments: Destroying Value.
Part III Contract Design.
Chapter 8 Designing an Agency Credit Derivatives FuturesContract.
Chapter 9 Bringing the Index to an Exchange.
Part IV A Bear Market Case Study.
Chapter 10 The ABX Meltdown.
Index.

Über Autor(innen)

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.