CDS Delivery Option / Bloomberg Professional (ePub)
Better Pricing of Credit Default Swaps
(Sprache: Englisch)
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...
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...
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Produktinformationen zu „CDS Delivery Option / Bloomberg Professional (ePub)“
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.
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.
Autoren-Porträt von David Boberski
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.
Bibliographische Angaben
- Autor: David Boberski
- 2010, 1. Auflage, 224 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 0470885262
- ISBN-13: 9780470885260
- Erscheinungsdatum: 17.05.2010
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: ePub
- Größe: 1.09 MB
- Mit Kopierschutz
Sprache:
Englisch
Kopierschutz
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